Vbeta: Update covariance matrix of parameters
In gamalamboy/stresstest: Implement the ETI Stress Testing Simulation

Description Usage Arguments Details Value

This function computes the covariance matrix of the parameters, given a prior parameter precision matrix and an estimate of the prior variance.

1	Vbeta(prior_vbeta_inv, var_inv, Z)

`prior_vbeta_inv`	the prior precision matrix (inverse of covariance).
`var_inv`	an estimated precision matrix for the model (Σ).
`Z`	the model matrix, as per Koop and Korobilis (2012).

The model uses the following formula for updating the previous value:

V_β = ≤ft( V_{β_0}^{-1} + ∑_{t=1}^{τ} Z_{t}^{T} \hat{Σ}^{-1} Z_{t} \right)^{-1}

Where V_{ β_{0} }^{-1} is the inverse of the prior coefficient variance, Z_{t} is the model matrix at time t, and \hat{Σ}^{-1} is an estimated precision matrix.

The covariance matrix of the parameters.

gamalamboy/stresstest documentation built on May 17, 2019, 1:33 p.m.