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A Metropolis-Hastings algorithm for reduced rank covariance matrices with application to Bayesian factor models.
CARMECI, GAETANO
2008

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Abstract
see link
Archivio
http://hdl.handle.net/11368/1906367
http://www.economia.uniroma2.it/conference/Public/1/Paper/109.pdf
Diritti
metadata only access
Soggetti

  • Metropolis-Hastings a...

  • positive semi-definit...

  • singular matrix

  • Wishart Singular dist...

  • Bayesian inference

  • Generalized Inverse W...

  • Hausdorff measure

  • factor model

  • unobserved component

  • state space model

  • local level model

  • common trend

  • cointegration.
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