Bayesian Inference for Factor Modeling

Collection of procedures to perform Bayesian analysis on a variety of factor models. Currently, it includes: "Bayesian Exploratory Factor Analysis" (befa) from G. Conti, S. Frühwirth-Schnatter, J.J. Heckman, R. Piatek (2014) , an approach to dedicated factor analysis with stochastic search on the structure of the factor loading matrix. The number of latent factors, as well as the allocation of the manifest variables to the factors, are not fixed a priori but determined during MCMC sampling.

BayesFM: Bayesian Inference for Factor Modeling

Installation

This package can be installed in R using:

install.packages("BayesFM")

Alternatively, it can be installed directly from Github:

# install.packages("devtools")
devtools::install_github("piatek/BayesFM")

Notes:

• This package requires a Fortran compiler and a C compiler.
• GNU Fortran version 4.6.3 or later is recommended.
• F95 and earlier versions of GNU Fortran may not work because of unsupported Fortran 2003 features used in this package.

Windows users:

• It is recommended to install Rtools to compile this package from source, see R for Windows FAQ.