dsp (version 1.2.0)

t_sampleEvolParams: Sample the thresholded dynamic shrinkage process parameters

Description

Compute one draw for each of the parameters in the thresholded dynamic shrinkage process for the special case in which the shrinkage parameter kappa ~ Beta(alpha, beta) with alpha = beta = 1/2.

Usage

t_sampleEvolParams(
  omega,
  evolParams,
  D = 1,
  sigma_e = 1,
  lower_b,
  upper_b,
  loc,
  prior_dhs_phi = c(20, 1),
  alphaPlusBeta = 1
)

Value

List of relevant components:

• the T evolution error standard deviations sigma_wt,

• the T log-volatility ht,

• the 1 log-vol unconditional mean(s) dhs_mean,

• the 1 log-vol AR(1) coefficient(s) dhs_phi,

• the 1 log-vol correction coefficient(s) dhs_phi2,

• the T log-vol innovation standard deviations sigma_eta_t from the Polya-Gamma priors,

• the 1 initial log-vol SD sigma_eta_0,

• the 1 threshold parameter r

Arguments

omega

T vector of evolution errors

evolParams

list of parameters to be updated (see Value below)

D

the degree of differencing (one or two)

sigma_e

the observation error standard deviation; for (optional) scaling purposes

lower_b

the lower bound in the uniform prior of the threshold variable

upper_b

the upper bound in the uniform prior of the threshold variable

loc

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

prior_dhs_phi

the parameters of the prior for the log-volatility AR(1) coefficient dhs_phi; either NULL for uniform on [-1,1] or a 2-dimensional vector of (shape1, shape2) for a Beta prior on [(dhs_phi + 1)/2]

alphaPlusBeta

For the symmetric prior kappa ~ Beta(alpha, beta) with alpha=beta, specify the sum [alpha + beta]