# Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

## Documentation for package ‘factorstochvol’ version 1.1.2

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS

## Help Pages

factorstochvol-package | Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models through MCMC
comtimeplot | Plot communalities over time.
corelement | Extract "true" model-implied correlations of two series only
corimageplot | Plot correlation matrices for certain points in time
cormat | Generic extraction of correlation matrix
cormat.fsvdraws | Extract posterior draws of the model-implied correlation matrix
cormat.fsvsim | Extract "true" model-implied correlation matrix for several points in time
corplot | Plots pairwise correlations over time
cortimeplot | Plot correlations over time.
covelement | Extract "true" model-implied covariances of two series only
covmat | Generic extraction of covariance matrix
covmat.fsvdraws | Extract posterior draws of the model-implied covariance matrix
covmat.fsvsim | Extract "true" model-implied covariance matrix for several points in time
covtimeplot | Plot correlations over time.
evdiag | Plots posterior draws and posterior means of the eigenvalues of crossprod(facload)
expweightcov | Computes the empirical exponentially weighted covariance matrix
facloadcredplot | Displays bivariate marginal posterior distribution of factor loadings.
facloaddensplot | Density plots of factor loadings draws
facloadpairplot | Displays bivariate marginal posterior distributions of factor loadings.
facloadpointplot | Displays point estimates of the factor loadings posterior.
facloadtraceplot | Trace plots of factor loadings draws
factorstochvol | Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models through MCMC
findrestrict | Ad-hoc method for (weakly) identifying the factor loadings matrix
fsvsample | Markov Chain Monte Carlo (MCMC) Sampling for the Factor Stochastic Volatility Model.
fsvsim | Simulate data from a factor SV model
ledermann | Ledermann bound for the number of factors
logret | Compute the log returns of a vector-valued time series
logret.data.frame | Compute the log returns of a vector-valued time series
logret.matrix | Compute the log returns of a vector-valued time series
logvartimeplot | Plot log-variances over time.
orderident | A posteriori factor order identification
paratraceplot | Trace plots of parameter draws.
paratraceplot.fsvdraws | Trace plots of parameter draws.
plot.fsvdraws | Default factor SV plot
plotalot | Several factor SV plots useful for model diagnostics
predcond | Predicts means and variances conditionally on the factors
predcor | Predicts correlation matrix
predcov | Predicts covariance matrix
predh | Predicts factor and idiosyncratic log-volatilities h
predloglik | Evaluates the predictive log likelihood using the predicted covariance matrix
predloglikWB | Evaluates the predictive log likelihood using the Woodbury identity
predprecWB | Predicts precision matrix and its determinant (Woodbury variant)
preorder | Ad-hoc methods for determining the order of variables
print.fsvdraws | Pretty printing of an fsvsdraws object
runningcormat | Extract summary statistics for the posterior correlation matrix which have been stored during sampling
runningcovmat | Extract summary statistics for the posterior covariance matrix which have been stored during sampling
signident | A posteriori sign identification
voltimeplot | Plot series-specific volatilities over time.