sample_mat_c

Wrapper function for C++ call for sample mat, check pre-conditions to prevent crash

Provides efficient Markov chain Monte Carlo (MCMC) algorithms for
dynamic shrinkage processes, which extend global-local shrinkage priors to
the time series setting by allowing shrinkage to depend on its own past.
These priors yield locally adaptive estimates, useful for time series and
regression functions with irregular features. The package includes full MCMC
implementations for trend filtering using dynamic shrinkage on signal differences,
producing locally constant or linear fits with adaptive credible bands.
Also included are models with static shrinkage and normal-inverse-Gamma priors for comparison.
Additional tools cover dynamic regression with time-varying coefficients and
B-spline models with shrinkage on basis differences, allowing for flexible
curve-fitting with unequally spaced data. Some support for heteroscedastic errors,
outlier detection, and change point estimation.
Methods in this package are described in Kowal et al. (2019) <doi:10.1111/rssb.12325>,
Wu et al. (2024) <doi:10.1080/07350015.2024.2362269>, Schafer and Matteson (2024)
<doi:10.1080/00401706.2024.2407316>, and Cho and Matteson (2024) <doi:10.48550/arXiv.2408.11315>.

Toryn Schafer

Dynamic Shrinkage Process and Change Point Detection

Daniel R. Kowal

Haoxuan Wu

Jason B. Cho

David S. Matteson

sample_mat_c function

<dl><dt>row_ind</dt>
<dd>list of the row indices to fill in the bandsparse matrix</dd>
<dt>col_ind</dt>
<dd>list of the columns indices to fill in the bandsparse matrix</dd>
<dt>mat_val</dt>
<dd>list of the values to fill in the bandsparse matrix</dd>
<dt>mat_l</dt>
<dd>dimension of the band-sparse matrix</dd>
<dt>num_inp</dt>
<dd>number of non-zero elements in the bandsparse matrix</dd>
<dt>linht</dt>
<dd><code>T-D</code> vector of linear term in the sampler</dd>
<dt>rd</dt>
<dd><code>T-D</code> vector of standard normal noise samples</dd>
<dt>D</dt>
<dd>the degree of differencing for changepoint</dd></dl>

Arguments

Wrapper function for C++ call for sample mat, check pre-conditions to prevent crash — sample_mat_c

<dl>

<dt>row_ind</dt>
<dd>list of the row indices to fill in the bandsparse matrix</dd>


<dt>col_ind</dt>
<dd>list of the columns indices to fill in the bandsparse matrix</dd>


<dt>mat_val</dt>
<dd>list of the values to fill in the bandsparse matrix</dd>


<dt>mat_l</dt>
<dd>dimension of the band-sparse matrix</dd>


<dt>num_inp</dt>
<dd>number of non-zero elements in the bandsparse matrix</dd>


<dt>linht</dt>
<dd><code>T-D</code> vector of linear term in the sampler</dd>


<dt>rd</dt>
<dd><code>T-D</code> vector of standard normal noise samples</dd>


<dt>D</dt>
<dd>the degree of differencing for changepoint</dd>

</dl>

sample_mat_c: Wrapper function for C++ call for sample mat, check pre-conditions to prevent crash

Description

Usage

Arguments