get_prior: Prior distribution of BVAR model

In hoanguc3m/fatBVARS: Bayesian VAR with Stochastic volatility and fat tails

Prior distribution of BVAR model

Description

This function returns a prior specification of BVAR-SV-fatTail model.

Usage

get_prior(
  y,
  p,
  priorStyle = c("Minnesota"),
  dist = c("Gaussian"),
  SV = FALSE,
  ...
)

Arguments

y	The input data as matrix T x K where T is the number of observations and K is the number of variables
p	The number of lags in BVAR model.
priorStyle	The prior style in BVAR model should be c("Minnesota", "OLS")
dist	The variable specifies the BVAR error distribution. It should be one of c("Gaussian","Student", "Skew.Student", "MT","MST","orthoStudent").
SV	The indicator if this BVAR model has a Stochastic volatility part.

Value

A list of prior specifications. b \sim N(b0, V_b_prior), a \sim N(0, 1000I), sigmaSq \sim IG(0.5*sigma_T0, 0.5*sigma_S0), nu \sim G(a,b), gamma \sim N(0, I).

Examples

## Not run: 
prior <- get_prior(y, p = 2, dist = c("Student"), SV = FALSE)

## End(Not run)

hoanguc3m/fatBVARS documentation built on Jan. 12, 2023, 4:42 p.m.