sampleLogVolMu0: Sample the mean of AR(1) unconditional means

In drkowal/dsp: Dynamic Shrinkage Processes

Sample the mean of AR(1) unconditional means

Description

Compute one draw of the mean of unconditional means in an AR(1) model with Gaussian innovations and time-dependent innovation variances (for p > 1). More generally, the sampler applies to the "mean" parameter (on the log-scale) for a Polya-Gamma parameter expanded hierarchical model.

Usage

sampleLogVolMu0(h_mu, h_mu0, dhs_mean_prec_j, h_log_scale = 0)

Arguments

h_mu	the p x 1 vector of means
h_mu0	the previous mean of unconditional means
dhs_mean_prec_j	the p x 1 vector of precisions (from the Polya-Gamma parameter expansion)
h_log_scale	prior mean from scale mixture of Gaussian (Polya-Gamma) prior, e.g. log(sigma_e^2)

Value

The sampled mean parameter dhs_mean0

Note

This sampler is particularly for p > 1 and the setting in which we want hierarchical shrinkage effects, e.g. predictor- and time-dependent shrinkage, predictor-dependent shrinkage, and global shrinkage, with a natural hierarchical ordering.

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