bbemkr (version 1.5)

warmup: Burn-in period

Description

By minimizing the cost value, the function estimates the bandwidths of the regressors and normal error variance parameter for the burn-in period

Usage

warmup(x, inicost, mutsizp, warm = 100, prob = 0.234, data_x, data_y,
       prior_p = 2, prior_st = 1)

Arguments

x

Log of square bandwidths

inicost

Cost value

mutsizp

Step size of random-walk Metropolis algorithm

warm

Number of burn-in iterations

prob

Optimal covergence rate of random-walk Metropolis algorithm

data_x

Regressors

data_y

Response variable

prior_p

Hyperparameter of the inverse-gamma prior

prior_st

Hyperparameter of the inverse-gamma prior

Value

• x
  Log of square bandwidths
• sigma2
  Estimate of normal error variance
• cost
  Cost value
• mutsizplast
  Final step size of random-walk Metropolis algorithm
• mutsizp
  Step size of random-walk Metropolis algroithm

See Also

mcmcrecord, logdensity, loglikelihood, logpriors