formSmpl: Form the Posterior Sample

In ArdiaD/bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Description

Form the joint posterior sampler from the MCMC output.

Usage

  formSmpl(MCMC, l.bi = 0, batch.size = 1)

Arguments

MCMC	object of the class mcmc.list (R package coda) or a list of matrices or a matrix.
l.bi	length of the burn-in phase.
batch.size	batching size used to diminish the autocorrelation within the chains.

Value

The joint posterior sample as an mcmc object (R package coda).

Note

Please cite the package in publications. Use citation("bayesGARCH").

See Also

bayesGARCH for the Bayesian estimation of the GARCH(1,1) model with Student-t innovations.

Examples

  ## !!! INCREASE THE NUMBER OF MCMC ITERATIONS !!!

  ## LOAD DATA SET
  data(dem2gbp)
  y <- dem2gbp[1:750]

  ## RUN THE ESTIMATION
  MCMC <- bayesGARCH(y, control = list(n.chain = 2, l.chain = 100))

  ## FORM THE SAMPLE FROM THE MCMC OUTPUT
  smpl <- formSmpl(MCMC, l.bi = 50, batch.size = 2)

  ## POSTERIOR STATISTICS
  summary(smpl)

ArdiaD/bayesGARCH documentation built on May 22, 2021, 4:35 a.m.