BB_CBOM: 'BB_CBOM' computes Montiel Olea & Plagborg-Moller 2018...

In estsyawo/bayesprdopt: Useful Functions and Algorithms

BB_CBOM computes Montiel Olea & Plagborg-Moller 2018 Bayesian simultaneous bands.

Description

BB_CBOM computes Montiel Olea & Plagborg-Moller 2018 Bayesian simultaneous bands.

Usage

BB_CBOM(
  DQmat,
  alpha = 0.1,
  method = "ETI",
  qrangeID = NULL,
  tol = .Machine$double.eps^0.25
)

Arguments

DQmat	G by L matrix of random draws from the joint distribution
alpha	nominal level for 100(1-\alpha)\% simultaneous coverage
method	type of credible interval to calibrate for simultaneous coverage. Defaults to the equal-tailed interval (ETI); other options include 'HDI', 'BCI' and 'SI'. See ci for details.
qrangeID	an index of the rows of DQmat to obtain simultaneous coverage for.
tol	a tolerance level as stopping rule for the algorithm.

Value

BB: Lower and upper Bayesian bands

zeta: the calibrated level at which simultaneous coverage is achieved.

Examples

set.seed(1); BB_CBOM(matrix(rnorm(1000),nrow=5))

estsyawo/bayesprdopt documentation built on April 2, 2024, 2:18 p.m.