initSV: Initialize the stochastic volatility parameters
In dsp: Dynamic Shrinkage Process and Change Point Detection
View source: R/helper_functions.R
initSV R Documentation
Initialize the stochastic volatility parameters
Description
Compute initial values for normal stochastic volatility parameters.
The model assumes an AR(1) for the log-volatility.
Usage
initSV(omega)
Arguments
omega
T x p matrix of errors
Value
List of relevant components: sigma_wt, the T x p matrix of standard deviations,
and additional parameters (unconditional mean, AR(1) coefficient, and standard deviation).
dsp documentation built on Aug. 21, 2025, 5:29 p.m.
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View source: R/helper_functions.R
| initSV | R Documentation |
Initialize the stochastic volatility parameters
Description
Compute initial values for normal stochastic volatility parameters. The model assumes an AR(1) for the log-volatility.
Usage
initSV(omega)
Arguments
omega |
|
Value
List of relevant components: sigma_wt, the T x p matrix of standard deviations,
and additional parameters (unconditional mean, AR(1) coefficient, and standard deviation).
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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