SA_algorithm: Stochastic approximation algorithm

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Stochastic approximation algorithm

Description

Stochastic approximation algorithm

Usage

SA_algorithm(
  K1Z_NoBC,
  RiskFactors,
  BRWlist,
  GVARinputs,
  JLLinputs,
  FactorLabels,
  Economies,
  ModelType,
  verbose
)

Arguments

K1Z_NoBC	feedback matrix before bias-correction
RiskFactors	A numeric matrix (T x F) representing the time series of risk factors.
BRWlist	A list containing the necessary inputs for the BRW model estimation
GVARinputs	List. Inputs for GVAR model estimation.
JLLinputs	List. Inputs for JLL model estimation.
FactorLabels	A list of character vectors with labels for all variables in the model.
Economies	A character vector containing the names of the economies included in the system.
ModelType	A character vector indicating the model type to be estimated.
verbose	verbose Logical flag controlling function messaging.

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.