sampleCommonSV: Sample the (common) stochastic volatility parameters

In drkowal/dfosr: Dynamic Function-on-Scalars Regression

Description

Compute one draw for each of the parameters in the stochastic volatility model where each component of omega_j,t has a common dynamic variance.

Usage

sampleCommonSV(omega, svParams, prior_phi = c(20, 1.5))

Arguments

omega	T x m matrix of residuals
svParams	list of parameters to be updated (see Value below)
prior_phi	the parameters of the prior for the log-volatilty AR(1) coefficient h_phi; either NULL for uniform on [-1,1] or a 2-dimensional vector of (shape1, shape2) for a Beta prior on [(h_phi + 1)/2]

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/dfosr documentation built on May 7, 2020, 3:09 p.m.