priors: Auxiliary function for setting hyperparameter values

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Auxiliary function for setting hyperparameter values

Description

This function constructs and validates the list of hyperparameter values used to define the prior distributions of the model parameters. Hyperparameters not explicitly provided by the user are assigned their default values, which define non-informative prior distributions.

Usage

priors(prior, regim, k, dist, setar, ssvs)

Arguments

prior	A list specifying user-defined values for the hyperparameters. Any hyperparameters not included in this list are set to their default values.
regim	A positive integer indicating the number of regimes in the model.
k	A positive integer indicating the dimension of the multivariate output series.
dist	A character string specifying the distribution chosen to model the noise process.
setar	A positive integer indicating the component of the output series that acts as the threshold variable in a SETAR specification. If NULL is specified then the model is not a SETAR.
ssvs	A logical indicating whether the Stochastic Search Variable Selection (SSVS) procedure should be applied.

Value

A list containing the hyperparameter values defining the prior distributions of all model parameters.

mtarm documentation built on Jan. 12, 2026, 1:07 a.m.