Hi Claudio,
You can derive the residual correlation matrix from the latent factor loadings lambda, which is briefly described in
the paper introducing this functionality. Here's some code to do that, assuming that the model output name is "out":
# out is the model object from the factor model run.
N <- nrow(out$y)
n.samples <- nrow(out$beta.samples)
cor.mat.samples <- array(NA, dim = c(n.samples, N, N))
n.factors <- out$q
for (l in 1:n.samples) {
curr.lambda.mat <- matrix(out$lambda.samples[l, ], N, n.factors)
cor.mat.samples[l, , ] <- cov2cor(curr.lambda.mat %*% t(curr.lambda.mat))
}
# Summarize cor.mat.samples just like any other set of MCMC samples, e.g.,
apply(cor.mat.samples, c(2, 3), mean)
Jeff