ginormal: Density function and generation of random variables from the Generalized Inverse Normal (GIN) distribution from Robert (1991). Also provides density functions and generation from the GIN distribution truncated to positive or negative reals. Theoretical guarantees supporting the sampling algorithms and an application to Bayesian estimation of network formation models can be found in Ding, Estrada and Montoya-Blandón (2023).
ptfa: Estimation of Probabilistic Targeted Factor Analysis models, a likelihood-based framework for constructing latent factors explicitly targeted to variables of economic interest, providing a probabilistic foundation for Partial Least Squares under uncertainty. The model is estimated via a fast expectation-maximization algorithm and accommodates missing data, mixed-frequency observations, stochastic volatility, and factor dynamics. Full methodological details and applications to financial conditions indices, macroeconomic forecasting, and equity premium prediction can be found in Herculano and Montoya-Blandón (2024).