lame (version 1.3.4)

sample_rho_beta_cpp: Sample the AR(1) rho for each dynamic block

Description

Truncated-Normal full conditional, one rho per block.

Usage

sample_rho_beta_cpp(
  beta_path,
  group_id,
  n_groups,
  Lambda_inv,
  sigma_by_coef,
  rho_current,
  rho_prior_mean,
  rho_prior_sd,
  rho_lower = 0,
  rho_upper = 0.999
)

Value

Length n_groups vector of new rho values.

Arguments

beta_path

(T x p_dyn) matrix of beta draws.

group_id

Length p_dyn integer vector (1-based) of block IDs.

n_groups

Number of distinct block IDs.

Lambda_inv

(p_dyn x p_dyn) inverse of the (full) Lambda scale.

sigma_by_coef

Length p_dyn vector of per-coef sigma (block-shared).

rho_current

Length n_groups vector of current rho values.

rho_prior_mean

Length n_groups vector of prior means.

rho_prior_sd

Length n_groups vector of prior SDs.

rho_lower

Lower truncation bound (typically 0).

rho_upper

Upper truncation bound (typically 0.999).