Structured prior distributions for the covariance matrix in latent factor models

DOI10.1007/S11222-024-10454-0zbMATH Open1542.62014MaRDI QIDQ6581682FDOQ6581682

Authors: Sarah Elizabeth Heaps, Ian Hyla Jermyn 

Publication date: 31 July 2024

Published in: Statistics and Computing (Search for Journal in Brave)

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zbMATH Keywords

dimension reductioncovariance matrixlatent factor modelsstructured prior distributionsintraday gas demandstationary dynamic factor models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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