initDHS: Initialize the evolution error variance parameters

In dsp: Dynamic Shrinkage Process and Change Point Detection

Initialize the evolution error variance parameters

Description

Compute initial values for evolution error variance parameters under the dynamic horseshoe prior

Usage

initDHS(omega)

Arguments

omega

T x p matrix of evolution errors

Value

List of relevant components: the T x p evolution error SD sigma_wt, the T x p log-volatility ht, the p x 1 log-vol unconditional mean(s) dhs_mean, the p x 1 log-vol AR(1) coefficient(s) dhs_phi, the T x p log-vol innovation SD sigma_eta_t from the PG priors, the p x 1 initial log-vol SD sigma_eta_0, and the mean of log-vol means dhs_mean0 (relevant when p > 1)

dsp documentation built on Aug. 21, 2025, 5:29 p.m.