bvar_conj_hyper2dummy: Calculate artificial observations from hyperparameters
In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Description Usage Arguments Details Value Examples

Calculate artificial observations from hyperparameters

1	bvar_conj_hyper2dummy(Omega, S, Phi)

`Omega`	[k x k] hyperparameter, scale matrix for covariance of coefficients
`S`	[m x m] hyperparameter, scale matrix for IW-distribution
`Phi`	[k x m] hyperparameter, expected values of coefficients

Calculate artificial observations from hyperparameters. Usually used to calculate artificial observations from prior hyperparameters.

list of artificial observations: X_plus, Y_plus

data(Yraw)
X <- bvar_build_X(Yraw, constant = TRUE, p = 4)
Y <- bvar_build_Y(Yraw, p = 4)
hyper <- bvar_conj_dummy2hyper(Y, X) # no dummy observation, just for demo
dummy <- bvar_conj_hyper2dummy(hyper$Omega, hyper$S, hyper$Phi)