initCommonSV: Initialize the (common) SV parameters

In drkowal/FDLM: A Bayesian Multivariate Functional Dynamic Linear Model

Description

Compute initial values for common stochastic volatility parameters

Usage

initCommonSV(omega)

Arguments

omega

T x m matrix of residuals

Value

List of relevant components:

• the T x 1 error standard deviations sigma_et,

• the T x 1 log-volatility ht,

• the log-vol unconditional mean h_mu,

• the log-vol AR(1) coefficient h_phi,

• the log-vol innovation standard deviation h_sigma_eta

drkowal/FDLM documentation built on May 20, 2019, 5:20 p.m.