initCholReg.spam: Compute initial Cholesky decomposition for TVP Regression

In drkowal/dsp: Dynamic Shrinkage Processes

Compute initial Cholesky decomposition for TVP Regression

Description

Computes the Cholesky decomposition for the quadratic term in the (Gaussian) posterior of the TVP regression coefficients. The sparsity pattern will not change during the MCMC, so we can save computation time by computing this up front.

Usage

initCholReg.spam(obs_sigma_t2, evol_sigma_t2, XtX, D = 1)

Arguments

obs_sigma_t2	the T x 1 vector of observation error variances
evol_sigma_t2	the T x p matrix of evolution error variances
XtX	the Tp x Tp matrix of X'X (one-time cost; see ?build_XtX)
D	the degree of differencing (one or two)

drkowal/dsp documentation built on July 19, 2023, 11:42 a.m.