sampleSVparams: Sampler for the stochastic volatility parameters
In drkowal/dsp: Dynamic Shrinkage Processes
View source: R/component_samplers.R
sampleSVparams R Documentation
Sampler for the stochastic volatility parameters
Description
Compute one draw of the normal stochastic volatility parameters.
The model assumes an AR(1) for the log-volatility.
Usage
sampleSVparams(omega, svParams)
Arguments
omega
T x p matrix of errors
svParams
list of parameters to be updated
Value
List of relevant components in svParams: sigma_wt, the T x p matrix of standard deviations,
and additional parameters associated with SV model.
drkowal/dsp documentation built on July 19, 2023, 11:42 a.m.
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View source: R/component_samplers.R
| sampleSVparams | R Documentation |
Sampler for the stochastic volatility parameters
Description
Compute one draw of the normal stochastic volatility parameters. The model assumes an AR(1) for the log-volatility.
Usage
sampleSVparams(omega, svParams)
Arguments
omega |
|
svParams |
list of parameters to be updated |
Value
List of relevant components in svParams: sigma_wt, the T x p matrix of standard deviations,
and additional parameters associated with SV model.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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