sampleEvolParams: Sampler evolution error variance parameters

In drkowal/dsp: Dynamic Shrinkage Processes

Sampler evolution error variance parameters

Description

Compute one draw of evolution error variance parameters under the various options:

• dynamic horseshoe prior ('DHS');

• horseshoe prior ('HS');

• normal-inverse-gamma prior ('NIG').

Usage

sampleEvolParams(omega, evolParams, sigma_e = 1, evol_error = "DHS")

Arguments

omega	T x p matrix of evolution errors
evolParams	list of parameters pertaining to each evol_error type to be updated
sigma_e	the observation error standard deviation; for (optional) scaling purposes
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 in evolParams: sigma_wt, the T x p matrix of evolution standard deviations, and additional parameters associated with the DHS and HS priors.

Note

The list evolParams is specific to each evol_error type, but in each case contains the evolution error standard deviations sigma_wt.

To avoid scaling by the observation standard deviation sigma_e, simply use sigma_e = 1 in the functional call.

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