t_sampleSVparams: Sampler for the stochastic volatility parameters
In dsp: Dynamic Shrinkage Process and Change Point Detection
t_sampleSVparams R Documentation
Sampler for the stochastic volatility parameters
Description
Compute one draw of the normal stochastic volatility parameters.
The model assumes an AR(1) for the log-volatility.
Usage
t_sampleSVparams(omega, svParams)
Arguments
omega
T vector of errors
svParams
list of parameters to be updated
Value
List of relevant components in svParams: sigma_wt, the T vector of standard deviations,
and additional parameters associated with SV model.
dsp documentation built on Aug. 21, 2025, 5:29 p.m.
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| t_sampleSVparams | R Documentation |
Sampler for the stochastic volatility parameters
Description
Compute one draw of the normal stochastic volatility parameters. The model assumes an AR(1) for the log-volatility.
Usage
t_sampleSVparams(omega, svParams)
Arguments
omega |
|
svParams |
list of parameters to be updated |
Value
List of relevant components in svParams: sigma_wt, the T vector of standard deviations,
and additional parameters associated with SV model.
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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