Bayesian Factor Modelling via Generalized Lower Triangular Priors

Sparse Bayesian factor models for multivariate data, built around a flexible Generalized Lower Triangular (GLT) process prior on the loading matrix by Canale and Frühwirth-Schnatter (2026) . The number of active factors, their sparsity pattern, and the loadings themselves are learned jointly via a Markov chain Monte Carlo sampler implemented in C++ with 'Rcpp' and 'RcppArmadillo'.

glt

Bayesian Factor Analysis via the Generalized Lower Triangular Process Priors

Overview

The package glt implements Bayesian factor analysis under the generalized lower triangular process prior by Canale and Frühwirth-Schnatter, (2026)

Install the R package with

install.packages("devtools")
devtools::install_github("tonycanale/glt")

Author

Antonio Canale