bikes_svbvar: Notebook generator: Stochastic BVAR

In ooelrich/oscbvar: Stuff for Bayesian vector autoregressions

Description

Generates a notebook for BVAR models with stochastic volatility specifically for the bike sharing data. For some reason the svsample function does not work when any of the columns in covariates have "to many zeroes" (more than half?), in which case you need to specify "startpara = list(mu = 0, phi = 0, sigma = 1, beta = rep(0, ncol(covariates)).".

Usage

bikes_svbvar(agc = list(1, 60, FALSE), include_intercept = TRUE)

Arguments

agc	List of atomic prediction generation controllers. The first element of the list gives the starting time (ie what observation is considered as t = 1), the second element is the minimum window length used for estimation, and the third one is a boolean indicating if the estimation window is rolling or not.
include_intercept	Should the design matrix include an intercept? Defaults to TRUE.

Details

Uses the stochvol package with default priors.

ooelrich/oscbvar documentation built on Sept. 8, 2021, 3:31 p.m.