phiFromBeta_normalInverseWishart

coefficient vector, of dimension K*d*d

beta

positive integer, vector dimensionality

Convert vector parametrization (beta) to matrix-parametrization (phi),
the latter as e.g. used in MTS::VAR()$ar

internal

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126> and A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470>. It was supported by DFG grant KI 1443/3-1.

Alexander Meier

phiFromBeta_normalInverseWishart: Convert vector parametrization (beta) to matrix-parametrization (phi), the latter as e.g. used in MTS::VAR()$ar

Description

Usage

Arguments

Value