sampleSVparams0: Sampler for the stochastic volatility parameters using same...
In drkowal/dsp: Dynamic Shrinkage Processes
View source: R/component_samplers.R
sampleSVparams0 R 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.
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View source: R/component_samplers.R
| sampleSVparams0 | R 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 |
|
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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