Fitting Bayesian Matrix DFM

This function fits Bayesian Matrix Dynamic Factor Model (MDFM) with various priors.

Usage

mdfm_bayes(
  y,
  factor_spec = set_matfactor(),
  num_chains = 1,
  num_iter = 1000,
  num_burn = floor(num_iter/2),
  thinning = 1,
  row_spec = set_mar_minnesota(),
  col_spec = row_spec,
  verbose = FALSE,
  num_thread = 1
)

Arguments

y

Matrix-valued time series data

factor_spec

Factor matrix specification.

num_chains

Number of MCMC chains

num_iter

MCMC iteration number

num_burn

Number of burn-in (warm-up). Half of the iteration is the default choice.

thinning

Thinning every thinning-th iteration

row_spec

Row coefficient specification

col_spec

Column coefficient specification

verbose

Progress log

num_thread

Number of threads