sampleVAR: Sample the VAR coefficient matrix

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

Description

Compue one draw of the VAR coefficient matrix G assuming a Gaussian prior (with mean zero). The sampler also assumes the VAR is lag-1.

Usage

sampleVAR(ytc, Sigma, priorPrec = NULL, stationary = TRUE)

Arguments

ytc	the T x p matrix of (centered) multivariate time series
Sigma	the p x p error variance matrix
priorPrec	the p x p prior precision matrix; if NULL, use diag(10^-6, p)
stationary	logical; if TRUE, resample until stationary

Value

The p x p VAR coefficient matrix.

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