dsp (version 1.2.0)

sampleBTF: Sampler for first or second order random walk (RW) Gaussian dynamic linear model (DLM)

Description

Compute one draw of the T x 1 state variable mu in a DLM using back-band substitution methods. This model is equivalent to the Bayesian trend filtering (BTF) model, assuming appropriate (shrinkage/sparsity) priors for the evolution errors.

Usage

sampleBTF(
  y,
  obs_sigma_t2,
  evol_sigma_t2,
  D = 1,
  loc_obs = NULL,
  chol0 = NULL,
  prior_mean = NULL
)

Value

T x 1 vector of simulated states

Arguments

y

the T x 1 vector of time series observations

obs_sigma_t2

the T x 1 vector of observation error variances

evol_sigma_t2

the T x 1 vector of evolution error variances

D

the degree of differencing (one or two)

loc_obs

list of the row and column indices to fill in a band-sparse matrix

chol0

(optional) the m x m matrix of initial Cholesky factorization; if NULL, use the Matrix package for sampling, otherwise use the spam package

prior_mean

optional (default is NULL); numeric T x 1 vector specifying the prior mean of mu