.postRW | R Documentation |
Draws from the posterior of the variance parameter of a random walk or a random walk with constant or stochastic drift.
.postRW(Y, sigmaDistr, sigmaLast = NULL, muDistr = NULL)
Y |
A |
sigmaDistr |
A |
sigmaLast |
A scalar containing the last draw of the innovation variance. |
muDistr |
A |
If the process follows a random walk with constant drift, the two parameters are drawn sequentially (conditional on the other parameter). The constant is drawn from a normal posterior given by conjugacy.
The innovation variance is drawn from a Inverse-Gamma posterior given by conjugacy.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.