glt

Bayesian Factor Analysis via the Generalized Lower Triangular Process Priors

Overview

The package glt implements sparse Bayesian factor analysis under the generalized lower triangular 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.

Install the latest version of the package with

install.packages("devtools")
# devtools::install_github("tonycanale/glt")
install.packages("glt", repos = c('https://tonycanale.r-universe.dev', 'https://cloud.r-project.org'))

Alternatively, download the CRAN version version with

install.packages("glt")

Author

Antonio Canale

Details

Currently under internal checks at CRAN.