update_regressors: Single MCMC update of Bayesian linear regression

In stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Single MCMC update of Bayesian linear regression

Description

Samples the coefficients of a linear regression. The prior distribution is multivariate normal and it is specified in prior_spec.

Usage

update_regressors(dependent_variable, independent_variables, beta, prior_spec)

Arguments

dependent_variable	the left hand side
independent_variables	the matrix of the independent variables. Has to be of same height as the length of the dependent variable
beta	the vector of the latent states used in MDA. Updated in place
prior_spec	prior specification object. See type_definitions.h

See Also

Other stochvol_cpp: update_fast_sv(), update_general_sv(), update_t_error()

stochvol documentation built on Nov. 27, 2023, 1:09 a.m.