set_gdp: Generalized Double Pareto Shrinkage Hyperparameters for...
In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling
set_gdp R Documentation
Generalized Double Pareto Shrinkage Hyperparameters for Coefficients and Contemporaneous Coefficients
Description
![[Experimental]](../help/figures/lifecycle-experimental.svg)
Set GDP hyperparameters for VAR or VHAR coefficient and contemporaneous coefficient.
Usage
set_gdp(shape_grid = 100L, rate_grid = 100L)
is.gdpspec(x)
Arguments
shape_grid
Griddy gibbs grid size for Gamma shape hyperparameter
rate_grid
Griddy gibbs grid size for Gamma rate hyperparameter
x
Any object
Value
gdpspec object
References
Armagan, A., Dunson, D. B., & Lee, J. (2013). GENERALIZED DOUBLE PARETO SHRINKAGE. Statistica Sinica, 23(1), 119–143.
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 June 25, 2025, 9:07 a.m.
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| set_gdp | R Documentation |
Generalized Double Pareto Shrinkage Hyperparameters for Coefficients and Contemporaneous Coefficients
Description
Set GDP hyperparameters for VAR or VHAR coefficient and contemporaneous coefficient.
Usage
set_gdp(shape_grid = 100L, rate_grid = 100L)
is.gdpspec(x)
Arguments
shape_grid |
Griddy gibbs grid size for Gamma shape hyperparameter |
rate_grid |
Griddy gibbs grid size for Gamma rate hyperparameter |
x |
Any object |
Value
gdpspec object
References
Armagan, A., Dunson, D. B., & Lee, J. (2013). GENERALIZED DOUBLE PARETO SHRINKAGE. Statistica Sinica, 23(1), 119–143.
Korobilis, D., & Shimizu, K. (2022). Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends® in Econometrics, 11(4), 230-354.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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