factorstochvol
Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models
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>.
Downloads
725
Last 30 days
4399th
2.3K
Last 90 days
7.2K
Last year
Trend: +1.3% (30d vs prior 30d)
40
Last 30 days
180
Last 90 days
500
Last year
Trend: -50.6% (30d vs prior 30d)
2
Last 7 days
15
Last 30 days
2
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 12 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 25, 2026
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 22, 2026
installed package size
installed size is 7.9Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.0Mb
installed package size
installed size is 8.3Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.4Mb
ERROR 11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 18, 2026
whether package can be installed
Installation failed. See 'd:/Rcompile/CRANpkg/local/4.6/factorstochvol.Rcheck/00install.out' for details.
installed package size
installed size is 7.9Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.0Mb
installed package size
installed size is 8.3Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.4Mb
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
installed package size
installed size is 7.9Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.0Mb
installed package size
installed size is 8.0Mb
sub-directories of 1Mb or more:
doc 2.5Mb
libs 5.1Mb