rw1: Construct a first-order random walk component
In walker: Bayesian Generalized Linear Models with Time-Varying Coefficients

rw1	R Documentation

Construct a first-order random walk component

Auxiliary function used inside of the formula of walker.

rw1(formula, data, beta, sigma = c(2, 1e-04), gamma = NULL)

`formula`	Formula for RW1 part of the model. Only right-hand-side is used.
`data`	Optional data.frame.
`beta`	A length vector of length two which defines the prior mean and standard deviation of the Gaussian prior for coefficients at time 1.
`sigma`	A vector of length two, defining the Gamma prior for the coefficient level standard deviation. First element corresponds to the shape parameter and second to the rate parameter. Default is Gamma(2, 0.0001).
`gamma`	An optional k times n matrix defining a known non-negative weights of the random walk noises, where k is the number of coefficients and n is the number of time points. Then, the standard deviation of the random walk noise for each coefficient is of form gamma_t * sigma (instead of just sigma).