sampleVARmu: Sample the unconditional mean in a VAR

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

Description

Compue one draw of the unconditional mean mu in a VAR assuming a Gaussian prior (with mean zero).

Usage

sampleVARmu(yt, G, Sigma, priorPrec = NULL)

Arguments

yt	the T x p matrix of multivariate time series
G	the p x p VAR coefficient matrix
Sigma	the p x p error variance matrix
priorPrec	the p x p prior precision matrix; if NULL, use diag(10^-6, p)

Details

Sample the unconditional mean mu using the model

y_t = mu + G(y_{t-1} - mu) + e_t,

with e_t ~ N(0, Sigma) and prior mu ~ N(0, solve(priorPrec))

Value

The p x 1 matrix of unconditional means.

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