bvar_conj_estimate: Estimate bvar conjugate model from setup

In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Description

Estimate bvar conjugate model from setup

Usage

bvar_conj_estimate(setup, keep = 2000, verbose = FALSE)

Arguments

setup	list containing: X [T x k] Y [T x m] X_plus [T_plus x k] Y_plus [T_plus x m] v_prior p number of lags
keep	the number of simulations. If keep is zero only posterior hyperparameters are calculated
verbose	TRUE will show some debugging messages, FALSE by default

Details

Estimate bvar conjugate model from setup

Value

model list containing X, Y, X_plus, Y_plus, p, v_prior, sample (if keep>0) Omega_post, v_post, S_post, Phi_post

Examples

data(Yraw)
setup <- bvar_conj_setup(Yraw, p = 4, lambda = c(0.2, 1, 1, 1, 100, 100))
model <- bvar_conj_estimate(setup, keep = 10)

bdemeshev/bvarr documentation built on May 12, 2019, 3:40 a.m.