initDHS: Initialize the evolution error variance parameters

In drkowal/dsp: Dynamic Shrinkage Processes

Initialize the evolution error variance parameters

Description

Compute initial values for evolution error variance parameters under the dynamic horseshoe prior

Usage

initDHS(omega)

Arguments

omega

T x p matrix of evolution errors

Value

List of relevant components: the T x p evolution error SD sigma_wt, the T x p log-volatility ht, the p x 1 log-vol unconditional mean(s) dhs_mean, the p x 1 log-vol AR(1) coefficient(s) dhs_phi, the T x p log-vol innovation SD sigma_eta_t from the PG priors, the p x 1 initial log-vol SD sigma_eta_0, and the mean of log-vol means dhs_mean0 (relevant when p > 1)

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