Runs a Gibbs sampler to estimate latent factor trajectories U, spline coefficients gamma, loadings beta, observation/model precisions phiep, and factor precisions phiet.
Usage
BFACT(
Y,
z,
T,
T1,
T2,
H,
iseed,
J,
nsim,
mga = 0.1,
mbe = 0.1,
aep = 0.1,
bep = 0.1,
aet = 0.1,
bet = 0.1,
a1 = 3,
a2 = 3
)Arguments
- Y
Numeric matrix T x m of model outputs (each column a model series).
- z
Numeric vector of observed anomalies for years T1:T2.
- T
Integer total number of time points.
- T1, T2
Integers giving the observation window indices (1 ≤ T1 ≤ T2 ≤ T).
- H
Integer number of latent factors.
- iseed
Integer RNG seed for reproducibility.
- J
Integer number of spline basis functions (natural splines via splines::ns).
- nsim
Integer number of posterior draws.
- mga
Prior precision (ridge) for spline coefficients gamma. Default 0.1.
- mbe
Prior precision (ridge) for loadings beta. Default 0.1.
- aep
Gamma shape for observation/model precisions phiep. Default 0.1.
- bep
Gamma rate for observation/model precisions phiep. Default 0.1.
- aet
Gamma shape for factor precisions phiet. Default 0.1.
- bet
Gamma rate for factor precisions phiet. Default 0.1.
- a1
Gamma shape for shrinkage delta_1. Default 3.
- a2
Gamma shape for shrinkage delta_>=2. Default 3.