mdscheuerell / gretaDFA

Using the greta package for R to fit Dynamic Factor Models
https://mdscheuerell.github.io/gretaDFA/
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diagonal constraint for Z #4

Open mdscheuerell opened 6 years ago

mdscheuerell commented 6 years ago

The diagonal element of Z must be positive to insure convergence when sampling via Bayesian methods. In particular, Leung & Drton (2014) demonstrate a method that is invariant to any ordering of the observations.