sim_horseshoe_var

sim_horseshoe_vhar

<a href="https://lifecycle.r-lib.org/articles/stages.html#deprecated"><img src="figures/lifecycle-deprecated.svg?package=bvhar&version=2.1.2" alt="[Deprecated]"></a> This function generates parameters of VAR with Horseshoe prior.

Tools to model and forecast multivariate time series
including Bayesian Vector heterogeneous autoregressive (VHAR) model
by Kim & Baek (2023) (<doi:10.1080/00949655.2023.2281644>).
'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.

Young Geun Kim

bvhar

Bayesian Vector Heterogeneous Autoregressive Modeling

Changryong Baek

sim_horseshoe_var function

<dl><dt>p</dt>
<dd>VAR lag</dd>
<dt>dim_data</dt>
<dd>Specify the dimension of the data if hyperparameters of <code>bayes_spec</code> have constant values.</dd>
<dt>include_mean</dt>
<dd>Add constant term (Default: <code>TRUE</code>) or not (<code>FALSE</code>)</dd>
<dt>minnesota</dt>
<dd>Only use off-diagonal terms of each coefficient matrices for restriction.
In <code>sim_horseshoe_var()</code> function, use <code>TRUE</code> or <code>FALSE</code> (default).
In <code>sim_horseshoe_vhar()</code> function, <code>no</code> (default), <code>short</code> type, or <code>longrun</code> type.</dd>
<dt>method</dt>
<dd>Method to compute \(\Sigma^{1/2}\).</dd>
<dt>har</dt>
<dd>Numeric vector for weekly and monthly order. By default, <code>c(5, 22)</code>.</dd></dl>

Arguments

<a href='https://lifecycle.r-lib.org/articles/stages.html#deprecated'><img src='figures/lifecycle-deprecated.svg' alt='[Deprecated]' /></a> This function generates parameters of VAR with Horseshoe prior.

Generate Horseshoe Parameters — sim_horseshoe_var

<dl>

<dt>p</dt>
<dd>VAR lag</dd>


<dt>dim_data</dt>
<dd>Specify the dimension of the data if hyperparameters of <code>bayes_spec</code> have constant values.</dd>


<dt>include_mean</dt>
<dd>Add constant term (Default: <code>TRUE</code>) or not (<code>FALSE</code>)</dd>


<dt>minnesota</dt>
<dd>Only use off-diagonal terms of each coefficient matrices for restriction.
In <code>sim_horseshoe_var()</code> function, use <code>TRUE</code> or <code>FALSE</code> (default).
In <code>sim_horseshoe_vhar()</code> function, <code>no</code> (default), <code>short</code> type, or <code>longrun</code> type.</dd>


<dt>method</dt>
<dd>Method to compute \(\Sigma^{1/2}\).</dd>


<dt>har</dt>
<dd>Numeric vector for weekly and monthly order. By default, <code>c(5, 22)</code>.</dd>

</dl>

sim_horseshoe_var: Generate Horseshoe Parameters

Description

Usage

Arguments