t_sampleR_mh: Sample the threshold parameter

In dsp: Dynamic Shrinkage Process and Change Point Detection

Sample the threshold parameter

Description

Compute one draw of the threshold parameter in th TAR(1) model with Gaussian innovations and time-dependent innovation variances. The sampler utilizes metropolis hasting to draw from uniform prior.

Usage

t_sampleR_mh(
  h_yc,
  h_phi,
  h_phi2,
  h_sigma_eta_t,
  h_sigma_eta_0,
  h_st,
  h_r,
  lower_b,
  upper_b,
  omega,
  D
)

Arguments

h_yc	the T vector of centered log-volatilities (i.e., the log-vols minus the unconditional means dhs_mean)
h_phi	the 1 vector of previous AR(1) coefficient(s)
h_phi2	the 1 vector of previous penalty coefficient(s)
h_sigma_eta_t	the T vector of log-vol innovation standard deviations
h_sigma_eta_0	the 1 vector of initial log-vol innovation standard deviations
h_st	the T vector of indicators on whether each time-step exceed the estimated threshold
h_r	1 the previous draw of the threshold parameter
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
omega	T vector of evolution errors
D	the degree of differencing (one or two)

Value

the sampled threshold value r

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