fSampSPG: samples sigma, phi and gamma for stochastic volatility...
In joergrieger/ltvar: Estimates Latent Threshold VAR Model
Description
samples sigma, phi and gamma for stochastic volatility sampler
Usage
1
fSampSPG(my, mh, mPhi, vgam, dnu, dV0, da0, db0, dg0, dG0)
Arguments
my
current draw of stochastic volatility
mh
previous draw of stochastic volatility
mPhi
Phi-matrix from previous draw
vgam
gamma draw from previous round
dnu, dV0
prior parameters on sigma, inverse gamma distribution
da0, db0
prior parameters on phi, shape parameters for beta distribution
dg0, dG0
prior parameters on gamma, inverse gamma distribution
joergrieger/ltvar documentation built on Sept. 11, 2019, 10:21 a.m.
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.
Description
samples sigma, phi and gamma for stochastic volatility sampler
Usage
1 | fSampSPG(my, mh, mPhi, vgam, dnu, dV0, da0, db0, dg0, dG0)
|
Arguments
my |
current draw of stochastic volatility |
mh |
previous draw of stochastic volatility |
mPhi |
Phi-matrix from previous draw |
vgam |
gamma draw from previous round |
dnu, dV0 |
prior parameters on sigma, inverse gamma distribution |
da0, db0 |
prior parameters on phi, shape parameters for beta distribution |
dg0, dG0 |
prior parameters on gamma, inverse gamma distribution |
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.