factorstochvol (version 0.8.1)

predloglikWB: Evaluates the predictive log likelihood using the Woodbury identity

Description

predloglikWB approximates the predictive log likelihood exploiting the factor structure and using the Woodbury idenitity and the corresponding matrix determinant lemma. This is recommended only if many series and few factors are present.

Usage

predloglikWB(y, x, ahead = 1, each = 1)

Arguments

y

Matrix of dimension length(ahead) times m where the predictive density should be evaluated.

x

Object of class 'fsvdraws', usually resulting from a call to fsvsample.

ahead

Vector of timepoints, indicating how many steps to predict ahead.

each

Single integer (or coercible to such) indicating how often should be drawn from the posterior predictive distribution for each draw that has been stored during MCMC sampling.

Value

Vector of length length(ahead) with log predictive likelihoods.

See Also

Uses predprecision. If m is small or many factors are used, consider also using predcov.

Other predictors: predcond, predcor, predcov, predh, predloglik, predprecision

Examples

## Not run: 
# set.seed(1)
# 
# # Simulate a time series of length 1100:
# sim <- fsvsim(n = 1100, series = 3, factors = 1)
# y <- sim$y
# 
# # Estimate using only 1000 days:
# res <- fsvsample(y[seq_len(1000),], factors = 1)
# 
# # Evaluate the 1, 10, and 100 days ahead predictive log
# # likelihood:
# ahead <- c(1, 10, 100)
# scores <- predloglikWB(y[1000+ahead,], res, ahead = ahead, each = 10)
# print(scores)
# ## End(Not run)