sampleSVparams0: Sampler for the stochastic volatility parameters using same...

View source: R/component_samplers.R

sampleSVparams0R Documentation

Sampler for the stochastic volatility parameters using same functions as DHS prior

Description

Compute one draw of the normal stochastic volatility parameters. The model assumes an AR(1) for the log-volatility.

Usage

sampleSVparams0(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.