Structured prior distributions for the covariance matrix in latent factor models

DOI10.1007/s11222-024-10454-0zbMath1542.62014MaRDI QIDQ6581682

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) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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