predprecWB: Predicts precision matrix and its determinant (Woodbury...

In factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Predicts precision matrix and its determinant (Woodbury variant)

Description

predprecWB simulates from the posterior predictive distribution of the model-implied precision matrix and its determinant using the Woodbury matrix identity and the matrix determinant lemma

Usage

predprecWB(x, ahead = 1, each = 1)

Arguments

x	Object of class 'fsvdraws', usually resulting from a call to fsvsample.
ahead	Vector of timepoints, indicating how many steps to predict ahead.
each	Single integer (or coercible to such) indicating how often should be drawn from the posterior predictive distribution for each draw that has been stored during MCMC sampling.

Value

List containing two elements:

precision

Array containing the draws of the predicted precision matrix.

precisionlogdet

Matrix containing the draws of the determinant of the predicted precision matrix.

Note

Currently crudely implemented as a triple loop in pure R, may be slow.

See Also

Usually used for evaluating the predictive likelihood when many series but few factors are used, see predloglik and predloglikWB.

Other predictors: predcond(), predcor(), predcov(), predh(), predloglikWB(), predloglik()

factorstochvol documentation built on Nov. 24, 2023, 5:08 p.m.