set_dl: Dirichlet-Laplace Hyperparameter for Coefficients and...

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Dirichlet-Laplace Hyperparameter for Coefficients and Contemporaneous Coefficients

Description

Set DL hyperparameters for VAR or VHAR coefficient and contemporaneous coefficient.

Usage

set_dl(dir_grid = 100L, shape = 0.01, scale = 0.01)

## S3 method for class 'dlspec'
print(x, digits = max(3L, getOption("digits") - 3L), ...)

is.dlspec(x)

Arguments

dir_grid	Griddy gibbs grid size for Dirichlet hyperparameter
shape	Inverse Gamma shape
scale	Inverse Gamma scale
x	Any object
digits	digit option to print
...	not used

Value

dlspec object

References

Bhattacharya, A., Pati, D., Pillai, N. S., & Dunson, D. B. (2015). Dirichlet-Laplace Priors for Optimal Shrinkage. Journal of the American Statistical Association, 110(512), 1479-1490.

Korobilis, D., & Shimizu, K. (2022). Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends® in Econometrics, 11(4), 230-354.

bvhar documentation built on April 4, 2025, 5:22 a.m.