###########################################################################
# MinnesotaPrior #
# #
# The purpose of the MinnesotaPrior function is to return prior #
# covariance matrices for autoregressive parameters in vector #
# autoregression (VAR) models. #
###########################################################################
MinnesotaPrior <- function(J, lags=c(1,2), lambda=1, theta=0.5, sigma)
{
theta <- max(min(theta, 1), 0)
Iden <- diag(J)
L <- length(lags)
V <- array(0, dim=c(J,J,length(lags)))
for (l in 1:L) {
### Diagonal elements
V[,,l] <- V[,,l] + Iden * (lambda/lags[l])^2
### Off-diagonal elements
V[,,l] <- V[,,l] + (1 - Iden) *
((lambda*theta*matrix(sigma, J, J, byrow=TRUE)) /
(lags[l]*matrix(sigma, J, J)))^2}
return(V)
}
#End
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