R/interval_to_moments.R

In mfbvar: Mixed-Frequency Bayesian VAR Models

#' Interval to moments
#'
#' Convert a matrix of \code{100*(1-alpha)} \% prior probability intervals for the steady states to prior moments.
#' @templateVar prior_psi_int TRUE
#' @param alpha \code{100*(1-alpha)} is the prior probability of the interval
#' @template man_template
#' @return A list with two components:
#' \item{prior_psi_mean}{The prior mean of psi}
#' \item{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)

interval_to_moments <- function(prior_psi_int, alpha = 0.05) {
  stopifnot(is.matrix(prior_psi_int), ncol(prior_psi_int) == 2)
  prior_psi_mean <- rowMeans(prior_psi_int)
  prior_psi_Omega <- diag(((prior_psi_int[, 2] - prior_psi_int[, 1]) / (qnorm(1-alpha/2, mean = 0, sd = 1)*2))^2)
  return(list(prior_psi_mean = prior_psi_mean, prior_psi_Omega = prior_psi_Omega))
}