bvar_conj_sigma2: Create [m x 1] vector of sigma^2 from supplied time series

In bdemeshev/bvarr: Package for Bayesian Vector Auto Regressions

Description

Create [m x 1] vector of sigma^2 from supplied time series

Usage

bvar_conj_sigma2(Y_in, s2_lag = 1, carriero_hack = FALSE)

Arguments

Y_in	multivariate time series
s2_lag	number of lags to estimate sigma^2
carriero_hack	logical, if TRUE sigma^2 will be estimated using biased estimator and supposed error with no square roots in dummy observations will be reproduced FALSE by default

Details

Create [m x 1] vector of sigma^2 from supplied time series

Value

[m x 1] vector of sigmas^2

Examples

data(Yraw)
sigma2 <- bvar_conj_sigma2(Yraw)

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