factorstochvol (Q43157): Difference between revisions

← Older edit

@@ Property / last update @@
-December 2021Timestamp +2021-12-07T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2021-12-07T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update: 7 December 2021 / rank @@
-Normal rank
@@ Property / imports @@
-methods
@@ Property / imports: methods / rank @@
-Normal rank
@@ Property / imports @@
-graphics
@@ Property / imports: graphics / rank @@
-Normal rank
@@ Property / imports @@
-stats
@@ Property / imports: stats / rank @@
-Normal rank
@@ Property / imports @@
-utils
@@ Property / imports: utils / rank @@
-Normal rank
@@ Property / imports @@
-GIGrvg
@@ Property / imports: GIGrvg / rank @@
-Normal rank
@@ Property / imports @@
-Rcpp
@@ Property / imports: Rcpp / rank @@
-Normal rank
@@ Property / imports @@
-corrplot
@@ Property / imports: corrplot / rank @@
-Normal rank
@@ Property / imports @@
-grDevices
@@ Property / imports: grDevices / rank @@
-Normal rank
@@ Property / imports @@
-stochvol
@@ Property / imports: stochvol / rank @@
-Normal rank
@@ Property / cites work @@
-Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
-Normal rank
@@ Property / cites work @@
-Sparse Bayesian time-varying covariance estimation in many dimensions
-Normal rank
@@ Property / software version identifier @@
+.8.1
@@ Property / software version identifier: 0.8.1 / rank @@
+Normal rank
@@ Property / software version identifier: 0.8.1 / qualifier @@
+publication date: 31 August 2016Timestamp +2016-08-31T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2016-08-31T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.8.2
@@ Property / software version identifier: 0.8.2 / rank @@
+Normal rank
@@ Property / software version identifier: 0.8.2 / qualifier @@
+publication date: 20 September 2016Timestamp +2016-09-20T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2016-09-20T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.8.3
@@ Property / software version identifier: 0.8.3 / rank @@
+Normal rank
@@ Property / software version identifier: 0.8.3 / qualifier @@
+publication date: 31 December 2016Timestamp +2016-12-31T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2016-12-31T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.9.2
@@ Property / software version identifier: 0.9.2 / rank @@
+Normal rank
@@ Property / software version identifier: 0.9.2 / qualifier @@
+publication date: 27 June 2019Timestamp +2019-06-27T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2019-06-27T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.9.3
@@ Property / software version identifier: 0.9.3 / rank @@
+Normal rank
@@ Property / software version identifier: 0.9.3 / qualifier @@
+publication date: 6 October 2019Timestamp +2019-10-06T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2019-10-06T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.9
@@ Property / software version identifier: 0.9 / rank @@
+Normal rank
@@ Property / software version identifier: 0.9 / qualifier @@
+publication date: 1 February 2019Timestamp +2019-02-01T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2019-02-01T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.10.0
@@ Property / software version identifier: 0.10.0 / rank @@
+Normal rank
@@ Property / software version identifier: 0.10.0 / qualifier @@
+publication date: 9 November 2020Timestamp +2020-11-09T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2020-11-09T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.10.1
@@ Property / software version identifier: 0.10.1 / rank @@
+Normal rank
@@ Property / software version identifier: 0.10.1 / qualifier @@
+publication date: 13 November 2020Timestamp +2020-11-13T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2020-11-13T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.10.2
@@ Property / software version identifier: 0.10.2 / rank @@
+Normal rank
@@ Property / software version identifier: 0.10.2 / qualifier @@
+publication date: 9 February 2021Timestamp +2021-02-09T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2021-02-09T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.0.0
@@ Property / software version identifier: 1.0.0 / rank @@
+Normal rank
@@ Property / software version identifier: 1.0.0 / qualifier @@
+publication date: 29 November 2021Timestamp +2021-11-29T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2021-11-29T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.0.2
@@ Property / software version identifier: 1.0.2 / rank @@
+Normal rank
@@ Property / software version identifier: 1.0.2 / qualifier @@
+publication date: 9 September 2023Timestamp +2023-09-09T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-09-09T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.0.6
@@ Property / software version identifier: 1.0.6 / rank @@
+Normal rank
@@ Property / software version identifier: 1.0.6 / qualifier @@
+publication date: 12 October 2023Timestamp +2023-10-12T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-10-12T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / software version identifier @@
+.1.0
@@ Property / software version identifier: 1.1.0 / rank @@
+Normal rank
@@ Property / software version identifier: 1.1.0 / qualifier @@
+publication date: 24 November 2023Timestamp +2023-11-24T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-11-24T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update @@
+November 2023Timestamp +2023-11-24T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-11-24T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ Property / last update: 24 November 2023 / rank @@
+Normal rank
@@ Property / description @@
+Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.
+Normal rank
@@ Property / author @@
+Gregor Kastner
@@ Property / author: Gregor Kastner / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 2.0
@@ Property / copyright license: GNU General Public License, version 2.0 / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
+Normal rank
+edition/version: expanded from: GPL (≥ 2) (English)
@@ Property / imports @@
+GIGrvg
@@ Property / imports: GIGrvg / rank @@
+Normal rank
@@ Property / imports: GIGrvg / qualifier @@
+software version identifier: ≥ 0.4
@@ Property / imports @@
+Rcpp
@@ Property / imports: Rcpp / rank @@
+Normal rank
@@ Property / imports: Rcpp / qualifier @@
+software version identifier: ≥ 1.0.0
@@ Property / imports @@
+corrplot
@@ Property / imports: corrplot / rank @@
+Normal rank
@@ Property / imports @@
+methods
@@ Property / imports: methods / rank @@
+Normal rank
@@ Property / imports @@
+grDevices
@@ Property / imports: grDevices / rank @@
+Normal rank
@@ Property / imports @@
+graphics
@@ Property / imports: graphics / rank @@
+Normal rank
@@ Property / imports @@
+stats
@@ Property / imports: stats / rank @@
+Normal rank
@@ Property / imports @@
+utils
@@ Property / imports: utils / rank @@
+Normal rank
@@ Property / imports @@
+stochvol
@@ Property / imports: stochvol / rank @@
+Normal rank
@@ Property / imports: stochvol / qualifier @@
+software version identifier: ≥ 3.0.2
@@ Property / cites work @@
+Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Sparse Bayesian time-varying covariance estimation in many dimensions
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI software profile
@@ Property / MaRDI profile type: MaRDI software profile / rank @@
+Normal rank
@@ Property / depends on software @@
+R
@@ Property / depends on software: R / rank @@
+Normal rank
@@ Property / depends on software: R / qualifier @@
+software version identifier: ≥ 3.0.2
@@ Property / source code repository @@
+https://github.com/cran/factorstochvol
+Normal rank
@@ Property / Software Heritage ID @@
+swh:1:snp:b01df64699269706871e00092e43da61dbc3c14e
+Normal rank
+source code repository: https://github.com/cran/factorstochvol
+point in time: 4 December 2023Timestamp +2023-12-04T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
Before 0
After 0
-Timestamp
++2023-12-04T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
-Precision
+day
 Before
 After
@@ links / mardi / name / links / mardi / name @@
+Software:43157

Latest revision as of 00:11, 22 March 2024

Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Language	Label	Description	Also known as
English	factorstochvol	Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Statements

0 references

0 references

software version identifier

1.0.1

publication date

7 December 2021

0 references

0.8.1

publication date

31 August 2016

0 references

0.8.2

publication date

20 September 2016

0 references

0.8.3

publication date

31 December 2016

0 references

0.9.2

publication date

27 June 2019

0 references

0.9.3

publication date

6 October 2019

0 references

0.9

publication date

1 February 2019

0 references

0.10.0

publication date

9 November 2020

0 references

0.10.1

publication date

13 November 2020

0 references

0.10.2

publication date

9 February 2021

0 references

1.0.0

publication date

29 November 2021

0 references

1.0.2

publication date

9 September 2023

0 references

1.0.6

publication date

12 October 2023

0 references

1.1.0

publication date

24 November 2023

0 references

0 references

0 references

0 references

24 November 2023

0 references

description

Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.

0 references

author

Gregor Kastner

0 references

copyright license

GNU General Public License, version 2.0

0 references

GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)

0 references

imports