Encoding: UTF-8
Package: factorstochvol
Type: Package
Title: Bayesian Estimation of (Sparse) Latent Factor Stochastic
        Volatility Models
Version: 1.1.0
Authors@R: c(
	person("Gregor", "Kastner", role = c("aut", "cre"), email = "gregor.kastner@aau.at", comment = c(ORCID = "0000-0002-8237-8271")),
	person("Darjus", "Hosszejni", role = c("ctb"), email = "darjus.hosszejni@wu.ac.at", comment = c(ORCID = "0000-0002-3803-691X")),
	person("Luis", "Gruber", role = c("ctb"), email = "luis.gruber@aau.at", comment = c(ORCID = "0000-0002-2399-738X")))
Description: Markov chain Monte Carlo (MCMC) sampler for fully Bayesian estimation of latent factor stochastic volatility models with interweaving <doi:10.1080/10618600.2017.1322091>. Sparsity can be achieved through the usage of Normal-Gamma priors on the factor loading matrix <doi:10.1016/j.jeconom.2018.11.007>.
License: GPL (>= 2)
Depends: R (>= 3.0.2)
Imports: GIGrvg (>= 0.4), Rcpp (>= 1.0.0), corrplot, methods,
        grDevices, graphics, stats, utils, stochvol (>= 3.0.2)
Suggests: LSD (>= 4.0-0), coda (>= 0.19-2), knitr, RColorBrewer,
        testthat (>= 2.1.0), zoo
LinkingTo: Rcpp, RcppArmadillo (>= 0.9.900), stochvol
RoxygenNote: 7.2.3
BuildResaveData: best
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2023-11-24 09:49:56 UTC; grkastner
Author: Gregor Kastner [aut, cre] (<https://orcid.org/0000-0002-8237-8271>),
  Darjus Hosszejni [ctb] (<https://orcid.org/0000-0002-3803-691X>),
  Luis Gruber [ctb] (<https://orcid.org/0000-0002-2399-738X>)
Maintainer: Gregor Kastner <gregor.kastner@aau.at>
Repository: CRAN
Date/Publication: 2023-11-24 11:30:11 UTC
Built: R 4.4.0; aarch64-apple-darwin20; 2024-04-06 03:23:26 UTC; unix
Archs: factorstochvol.so.dSYM
