interval_to_moments: Interval to moments

In mfbvar: Mixed-Frequency Bayesian VAR Models

Description

Convert a matrix of 100*(1-alpha) % prior probability intervals for the steady states to prior moments.

Usage

interval_to_moments(prior_psi_int, alpha = 0.05)

Arguments

prior_psi_int	Matrix of size (n_determ*n_vars) * 2 with the prior 95 % prior probability intervals.
alpha	100*(1-alpha) is the prior probability of the interval

Value

A list with two components:

prior_psi_mean	The prior mean of psi
prior_psi_Omega	The prior covariance matrix of psi

Examples

prior_intervals <- matrix(c(0.1, 0.2,
                            0.4, 0.6), ncol = 2, byrow = TRUE)
psi_moments <- interval_to_moments(prior_intervals)

Example output

mfbvar documentation built on Feb. 10, 2021, 5:12 p.m.