initEvolParams: 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 various options: dynamic horseshoe prior ('DHS'), horseshoe prior ('HS'), Bayesian lasso ('BL'), normal stochastic volatility ('SV'), or normal-inverse-gamma prior ('NIG').

Usage

initEvolParams(omega, evol_error = "DHS")

Arguments

omega	T x p matrix of evolution errors
evol_error	the evolution error distribution; must be one of 'DHS' (dynamic horseshoe prior), 'HS' (horseshoe prior), or 'NIG' (normal-inverse-gamma prior)

Value

List of relevant components: sigma_wt, the T x p matrix of evolution standard deviations, and additional parameters associated with the DHS and HS priors.

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