t_sampleEvolParams: Sample the thresholded dynamic shrinkage process parameters

In dsp: Dynamic Shrinkage Process and Change Point Detection

Sample the thresholded dynamic shrinkage process parameters

Description

Compute one draw for each of the parameters in the thresholded dynamic shrinkage process for the special case in which the shrinkage parameter kappa ~ Beta(alpha, beta) with alpha = beta = 1/2.

Usage

t_sampleEvolParams(
  omega,
  evolParams,
  D = 1,
  sigma_e = 1,
  lower_b,
  upper_b,
  loc,
  prior_dhs_phi = c(20, 1),
  alphaPlusBeta = 1
)

Arguments

omega	T vector of evolution errors
evolParams	list of parameters to be updated (see Value below)
D	the degree of differencing (one or two)
sigma_e	the observation error standard deviation; for (optional) scaling purposes
lower_b	the lower bound in the uniform prior of the threshold variable
upper_b	the upper bound in the uniform prior of the threshold variable
loc	list of the row and column indices to fill in a band-sparse matrix
prior_dhs_phi	the parameters of the prior for the log-volatility AR(1) coefficient dhs_phi; either NULL for uniform on [-1,1] or a 2-dimensional vector of (shape1, shape2) for a Beta prior on [(dhs_phi + 1)/2]
alphaPlusBeta	For the symmetric prior kappa ~ Beta(alpha, beta) with alpha=beta, specify the sum [alpha + beta]

Value

List of relevant components:

• the T evolution error standard deviations sigma_wt,

• the T log-volatility ht,

• the 1 log-vol unconditional mean(s) dhs_mean,

• the 1 log-vol AR(1) coefficient(s) dhs_phi,

• the 1 log-vol correction coefficient(s) dhs_phi2,

• the T log-vol innovation standard deviations sigma_eta_t from the Polya-Gamma priors,

• the 1 initial log-vol SD sigma_eta_0,

• the 1 threshold parameter r

Note

The priors induced by prior_dhs_phi all imply a stationary (log-) volatility process.

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