gamalamboy/stresstest: Implement the ETI Stress Testing Simulation

This file implements a Bayesian VAR(p) with independent Normal-Wishart prior and a Gibbs Sampler to produce the forecasts. The forecasting procedure generates a sample point from each accepted parameter vector from the posterior distribution, unlike other methods.

Getting started

Package details

AuthorGamaliel Lamboy
MaintainerGamaliel Lamboy <>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
gamalamboy/stresstest documentation built on May 17, 2019, 1:33 p.m.