initEvol0: Initialize the parameters for the initial state variance

In drkowal/dsp: Dynamic Shrinkage Processes

Initialize the parameters for the initial state variance

Description

The initial state SDs are assumed to follow half-Cauchy priors, C+(0,A), where the SDs may be common or distinct among the states.

Usage

initEvol0(mu0, commonSD = TRUE)

Arguments

mu0	p x 1 vector of initial values (undifferenced)
commonSD	logical; if TRUE, use common SDs (otherwise distict)

Details

This function initalizes the parameters for a PX-Gibbs sampler.

Value

List of relevant components: the p x 1 evolution error SD sigma_w0, the p x 1 parameter-expanded RV's px_sigma_w0, and the corresponding global scale parameters sigma_00 and px_sigma_00 (ignore if commonSD)

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