Description Usage Arguments Value Note
View source: R/commonSV_source.R
Compute one draw of the AR(1) coefficient in a model with Gaussian innovations and time-dependent innovation variances. In particular, we use the sampler for the log-volatility AR(1) process with the parameter-expanded Polya-Gamma sampler. The sampler also applies to a multivariate case with independent components.
1 |
h_yc |
the |
h_phi |
the |
h_sigma_eta_t |
the |
prior_dhs_phi |
the parameters of the prior for the log-volatilty AR(1) coefficient |
p x 1
vector of sampled AR(1) coefficient(s)
For the standard AR(1) case, p = 1
. However, the function applies more
generally for sampling p > 1
independent AR(1) processes (jointly).
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