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dsp (version 1.2.0)

fit_paramsASV: Helper function for Sampling parameters for ASV model

Description

Helper function for Sampling parameters for ASV model

Usage

fit_paramsASV(data, sParams, evol_error, D)

Value

a list containing 4 sets of parameters

  • s_p_error_term: matrix containing mean and the variance from 10-componenet gaussian mixture (Omori et al. 2007)

  • s_mu: a vector containing the posterior sample of log variance h,

  • s_evolParams0: a list containing posterior samples of parameters associated with the variance of first D observation of the log variance term, h.

  • s_evolParams: a list containing posterior samples parameters associated with the variance of D to the last observations of the log variance temr , h.

Arguments

data

the T x 1 vector of time series observations.

sParams

list from the previous run of fit_paramsASV function or init_paramsASV function

evol_error

the evolution error distribution; must be one of 'DHS' (dynamic horseshoe prior), 'HS' (horseshoe prior), 'BL' (Bayesian lasso), or 'NIG' (normal-inverse-gamma prior)

D

degree of differencing (D = 1, or D = 2)