FactorSVResult.factors

property FactorSVResult.factors: NDArray[float64]

Posterior-mean factor paths, (T, r).

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> f = rng.standard_normal(200)
>>> y = np.outer(f, [1.0, 0.8, 0.6]) + 0.3 * rng.standard_normal((200, 3))
>>> res = FactorSV(y, n_factors=1).fit(n_draws=200, n_burn=50, seed=0)
>>> res.factors.shape, bool(np.corrcoef(res.factors[:, 0], f)[0, 1] > 0.95)
((200, 1), True)