gamalamboy/stresstest: Implement the ETI Stress Testing Simulation
Version 1.0

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 <[email protected]>
LicenseGPL
Version1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("gamalamboy/stresstest")
gamalamboy/stresstest documentation built on April 9, 2018, 7:55 a.m.