exal_make_vb_sigmagam_control

Returns a normalized <code>sigmagam</code> block for <code>vb_control</code> lists used by
<code>exalStaticLDVB()</code>, <code>exdqlmLDVB()</code>, and VB warm-start paths in
<code>exalStaticMCMC()</code> and <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_vb_sigmagam_control function

<dl><dt>freeze_warmup_iters</dt>
<dd>Non-negative integer; number of early VB iterations
during which the <code>(sigma, gamma)</code> block is held fixed.</dd>
<dt>force_after_warmup</dt>
<dd>Logical; force one immediate post-warmup update.</dd>
<dt>postwarmup_damping</dt>
<dd>Numeric in <code>(0, 1]</code>; damping applied after warmup.</dd>
<dt>postwarmup_damping_iters</dt>
<dd>Non-negative integer; number of damped
post-warmup iterations.</dd>
<dt>min_postwarmup_updates</dt>
<dd>Non-negative integer; minimum number of
post-warmup updates required before convergence-style gates can fire.</dd></dl>

Arguments

Build VB sigmagam warmup control — exal_make_vb_sigmagam_control

<dl>

<dt>freeze_warmup_iters</dt>
<dd>Non-negative integer; number of early VB iterations
during which the <code>(sigma, gamma)</code> block is held fixed.</dd>


<dt>force_after_warmup</dt>
<dd>Logical; force one immediate post-warmup update.</dd>


<dt>postwarmup_damping</dt>
<dd>Numeric in <code>(0, 1]</code>; damping applied after warmup.</dd>


<dt>postwarmup_damping_iters</dt>
<dd>Non-negative integer; number of damped
post-warmup iterations.</dd>


<dt>min_postwarmup_updates</dt>
<dd>Non-negative integer; minimum number of
post-warmup updates required before convergence-style gates can fire.</dd>

</dl>

exal_make_vb_sigmagam_control: Build VB sigmagam warmup control

Description

Usage

Value

Arguments