Bayesian Dynamic Factor Analysis (DFA) with 'Stan'

Implements Bayesian dynamic factor analysis with 'Stan'. Dynamic factor analysis is a dimension reduction tool for multivariate time series. 'bayesdfa' extends conventional dynamic factor models in several ways. First, extreme events may be estimated in the latent trend by modeling process error with a student-t distribution. Second, autoregressive and moving average components can be optionally included. Third, the estimated dynamic factors can be analyzed with hidden Markov models to evaluate support for latent regimes.


News

bayesdfa 0.1.0

  • Initial submission to CRAN.

bayesdfa 0.1.1

  • Changed Makevars per exchange with Stan developers.

bayesdfa 0.1.2

  • Changed find_inverted_chains() and invert_chains() to be compatible with dplyr 0.8 release. Specifically, removed deprecated group_by_() and summarise_() functions and changed code to remove unused factor levels.

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("bayesdfa")

0.1.3 by Eric J. Ward, 3 months ago


https://github.com/fate-ewi/bayesdfa


Report a bug at https://github.com/fate-ewi/bayesdfa/issues


Browse source code at https://github.com/cran/bayesdfa


Authors: Eric J. Ward [aut, cre] , Sean C. Anderson [aut] , Luis A. Damiano [aut] , Mary E. Hunsicker , [ctb] , Mike A. Litzow [ctb] , Trustees of Columbia University [cph]


Documentation:   PDF Manual  


GPL (>= 3) license


Imports rstan, rstantools, ggplot2, loo, dplyr, reshape2, rlang

Depends on Rcpp, methods

Suggests testthat, parallel, knitr, rmarkdown, MARSS

Linking to StanHeaders, rstan, BH, Rcpp, RcppEigen

System requirements: GNU make


See at CRAN