I’m actually working on a time-varying version (see Time Varying Factor Analysis). The relevant paper is Lopes and Carvalho 2007.
I’m using a loop to build beta to ensure identifiability.
What prior should I then be using for y_sd?
I’m actually working on a time-varying version (see Time Varying Factor Analysis). The relevant paper is Lopes and Carvalho 2007.
I’m using a loop to build beta to ensure identifiability.
What prior should I then be using for y_sd?