factorstochvol (version 0.8.1)

predprecision: Predicts precision matrix and its determinant (Woodbury variant)

Description

predprecision simulates from the posterior predictive distribution of the model-implied precision matrix and its determinant using the Woodbury matrix identity and the matrix determinant lemma

Usage

predprecision(x, ahead = 1, each = 1)

Arguments

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

List containing two elements:

• precisionArray containing the draws of the predicted precision matrix.
• precisionlogdetMatrix containing the draws of the determinant of the predicted precision matrix.

See Also

Usually used for evaluating the predictive likelihood when many series but few factors are used, see predloglik.

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