exal_make_mcmc_theta_control

Returns a normalized <code>mcmc_control$theta</code> block for <code>exdqlmMCMC()</code>.

Bayesian quantile-regression routines for dynamic state-space
models and static regression under the extended asymmetric Laplace
(exAL) error distribution. The dynamic state-space models are extended
dynamic quantile linear models (exDQLMs). The package combines dynamic
exDQLM inference via LDVB, MCMC, and legacy ISVB with static exAL
regression via LDVB and MCMC, reduced AL/DQLM paths through fixed
skewness, component builders for trend/seasonality/regression blocks,
static shrinkage priors including ridge, regularized horseshoe, and
'rhs_ns', evidence lower bound diagnostics, optional C++ accelerators,
and posterior predictive synthesis across separately fitted quantiles
through 'quantileSynthesis()'. Dynamic exDQLM methods are described in
Barata et al. (2020) <doi:10.1214/21-AOAS1497>.

Raquel Barata

exdqlm

Extended Dynamic Quantile Linear Models

Raquel Prado

Bruno Sanso

Antonio Aguirre

exal_make_mcmc_theta_control function

<dl><dt>enabled</dt>
<dd>Logical; explicit on/off switch.</dd>
<dt>freeze_burnin_iters</dt>
<dd>Non-negative integer; number of burn-in iterations
to hold the theta block fixed.</dd>
<dt>freeze_only_during_burn</dt>
<dd>Logical; if <code>TRUE</code>, hard freeze only applies
during burn-in.</dd>
<dt>sparse_update_every</dt>
<dd>Positive integer; sparse-update period during the
warmup window.</dd>
<dt>sparse_update_until_iter</dt>
<dd>Non-negative integer; last iteration where the
sparse schedule is active.</dd>
<dt>force_first_postwarmup_update</dt>
<dd>Logical; force one update immediately
after the hard freeze / sparse schedule ends.</dd>
<dt>trace</dt>
<dd>Logical; record diagnostics traces.</dd></dl>

Arguments

Build MCMC theta warmup control — exal_make_mcmc_theta_control

<dl>

<dt>enabled</dt>
<dd>Logical; explicit on/off switch.</dd>


<dt>freeze_burnin_iters</dt>
<dd>Non-negative integer; number of burn-in iterations
to hold the theta block fixed.</dd>


<dt>freeze_only_during_burn</dt>
<dd>Logical; if <code>TRUE</code>, hard freeze only applies
during burn-in.</dd>


<dt>sparse_update_every</dt>
<dd>Positive integer; sparse-update period during the
warmup window.</dd>


<dt>sparse_update_until_iter</dt>
<dd>Non-negative integer; last iteration where the
sparse schedule is active.</dd>


<dt>force_first_postwarmup_update</dt>
<dd>Logical; force one update immediately
after the hard freeze / sparse schedule ends.</dd>


<dt>trace</dt>
<dd>Logical; record diagnostics traces.</dd>

</dl>

exal_make_mcmc_theta_control: Build MCMC theta warmup control

Description

Usage

Value

Arguments