**Factor models
**Reference list

R code

More R code

**A few references**

- · Aguilar, O. and West, M. (2000) Bayesian dynamic factor models and variance matrix discounting for portfolio allocation,
*Journal of Business and Economic Statistics*, 18, 338-357. - · Banerjee, Carlin and Gelfand(2004)
*Hierarchical Modeling and analysis of Spatial Data*, Chapman& Hall CRC. - · Bartholomew, D. J. (1981) Posterior analysis of the factor model,
*The British Journal of Mathematical and Statistical Psychology*, 34, 93-99. - · Bartholomew, D. J. (1987)
*Latent Variable Models and Factor Analysis*, London: Charles Griffin. - · Besag, York and Mollie(1991) Bayesian image restoration, with two applications in spatial statistics (with discussion).
*Annals of the Institute of Statistical Mathematics*, 43, 1-59. - · Gamerman and Moreira (2004 Multivariate spatial regression models.
*Journal of Multivariate Analysis*, 91, 262-81. - · Gamerman, Moreira and Rue (2003) Space-varying regression models: specifications and simulation.
*Computational Statistics and Data Analysis*, 42, 513-33. - · Gelfand, Banerjee and Gamerman (2005) Spatial process modeling for univariate and multivariate dynamic spatial data.
*Environmetrics*, 16, 465-79 - · Gelfand, Kim, Sirmans and Banerjee (2003) Spatial modeling with spatially varying coefficient processes.
*Journal of the American Statistical Association*, 98, 387-96. - · Geweke, J. F. and Singleton, K. J. (1980) Interpreting the likelihood ratio statistic in factor models when sample size is small,
*Journal of the American Statistical Association*, 75, 133-137. - · Geweke, J. F. and Zhou, G. (1996) Measuring the pricing error of the arbitrage pricing theory,
*The Review of Financial Studies*, 9, 557-587. - · Higdon and Besag (1999) Bayesian analysis of agricultural field experiments.
*Journal of the Royal Statistical Society, Series B*, 61, 691-746. - · Ihara, M. and Kano, Y. (1995) Identifiability of full, marginal, and conditional factor analysis model,
*Statistics and Probability Letters*, 23, 343-50. - · Knorr-Held and Rue (2002) On block updating in Markov random field models for disease mapping.
*Scandinavian Journal of Statistics*, 29, 597-614. - · Koop and Potter (2004) Forecasting in dynamic factor models using Bayesian model averaging,
*Econometrics Journal*, 7, 550-565. - · Lopes (2000) Bayesian Analysis in Latent Factor and Longitudinal Model
- · Lopes, H. F. and Carvalho, C. M. (2007) Factor stochastic volatility with time varying loadings and Markov switching regimes,
*Journal of Statistical Planning and Inference*, 137, 3082-3091. - · Lopes, H. F. and West, M. (2004) Bayesian model assessment in factor analysis,
*Statistica Sinica*, 14, 41-67. - · Lopes, H. F., Salazar, E. and Gamerman, D. (2007) Spatial dynamic factor models, Technical Report.Graduate School of Business, University of Chicago.
- · Martin, J. L. and McDonald, R. P. (1975) Bayesian estimation in unrestricted factor analysis: A treatment for Heywood cases,
*Psychometrika*, 40, 505-517. - · Pitt, M. K. and Shephard, N. (1999) Time varying covariances: A factor stochastic volatility approach, In
*Bayesian statistics 6*(ed. J.M. Bernardo et al). London: Oxford University Press. - · Press, S. J. (1982)
*Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference*(2nd edition).New York: Krieger. - · Press, S. J. and Shigemasu, K. (1989) Bayesian inference in factor analysis. In
*ASA Proceedings of Social Statistics Section*, 292-294. - · West, M. (2003) Bayesian factor regression models in the “large p, small n” paradigm”, in
*Bayesian Statistics7*, 723-732.