fSVSamp: implements multi-move sampler for SV model
In joergrieger/ltvar: Estimates Latent Threshold VAR Model
Description
implements multi-move sampler for SV model
Usage
1
Arguments
vy
response (ns*1 vector)
vh
current point of h (ns*1 vector)
dphi
AR(1) coefficient for transition of volatility
dsig2, dsig02
parameters (scalar)
dh00
mean of cofficients
nK
number of blocks for multi-move sampler
joergrieger/ltvar documentation built on Sept. 11, 2019, 10:21 a.m.
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Description
implements multi-move sampler for SV model
Usage
1 |
Arguments
vy |
response (ns*1 vector) |
vh |
current point of h (ns*1 vector) |
dphi |
AR(1) coefficient for transition of volatility |
dsig2, dsig02 |
parameters (scalar) |
dh00 |
mean of cofficients |
nK |
number of blocks for multi-move sampler |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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