bvar_conj_dummy2hyper: Calculate hyperparameters from artificial observations
In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Description Usage Arguments Details Value Examples

Calculate hyperparameters from artificial observations

1	bvar_conj_dummy2hyper(Y_star, X_star)

`Y_star`	[T_star x m] matrix of left hand side endogeneous variables
`X_star`	[T_star x k] matrix of right hand side regressors: endogeneous and exogeneous variables

Calculate hyperparameters from artificial observations. Can be used both for prior and posterior hyperparameters. In the case of prior hyperparameters X_star usually consists of X_cniw, X_io and X_sc. In the case of posterior hyperparameters X_star usually consists of X, X_cniw, X_io and X_sc.

list of hyperparameters: Omega, Omega_root, Phi, S

data(Yraw)
X <- bvar_build_X(Yraw, constant = TRUE, p = 4)
Y <- bvar_build_Y(Yraw, p = 4)
post <- bvar_conj_dummy2hyper(Y,X) # no dummy observation, just for demo