sampleEvol0: Sample the parameters for the initial state variance

In drkowal/dsp: Dynamic Shrinkage Processes

Sample 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

sampleEvol0(mu0, evolParams0, commonSD = FALSE, A = 1)

Arguments

mu0	p x 1 vector of initial values (undifferenced)
evolParams0	list of relevant components (see below)
commonSD	logical; if TRUE, use common SDs (otherwise distict)
A	prior scale parameter from the half-Cauchy prior, C+(0,A)

Details

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

Value

List of relevant components: the p x 1 evolution error SD sigma_w0 and the p x 1 parameter-expanded RV's px_sigma_w0

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