LKJ: Define a LKJ matrix prior distribution

In bayesforecast: Bayesian Time Series Modeling with Stan

Description

LKJ(df)

Usage

LKJ(df = 2)

Arguments

df	the degree freedom parameter df

Details

Define a Lewandowski Kurowicka and Joe (LKJ) matrix correlation prior distribution using the degree freedom df hyper parameter,by default a LKJ(2) distribution is return.

Value

a numerical vector interpreted as a prior in Stan

References

Lewandowski D, Kurowicka D, Joe H (2009). "Generating random correlation matrices based on vines and extended onion method." Journal of Multivariate Analysis, 100(9), 1989 2001. ISSN 0047-259X. doi:https://doi.org/10.1016/j.jmva.2009.04.008. URL: http://www.sciencedirect.com/science/article/pii/S0047259X09000876.

bayesforecast documentation built on June 17, 2021, 5:14 p.m.