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lame (version 1.3.4)

.sweep_per_actor_exact: Per-actor sweep: unconstrained per-actor FFBS + exact projection

Description

One full sweep over actors: each actor's path is sampled from its conditional AR(1) posterior via .actor_ffbs_path(), and the joint sample is then projected to satisfy sum_i theta_i(t) = 0 per period using the variance-weighted Lagrangian.

Usage

.sweep_per_actor_exact(H_mat, h_mat, rho_actor, sigma_actor2)

Value

n_actors x T matrix of centered draws.

Arguments

H_mat

n_actors x T precision sufficient statistics

h_mat

n_actors x T cross-product sufficient statistics

rho_actor

AR(1) coefficient

sigma_actor2

AR(1) innovation variance