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)

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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Cites work

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