Dirichlet-Laplace Hyperparameter for Coefficients and Contemporaneous Coefficients

Set DL hyperparameters for VAR or VHAR coefficient and contemporaneous coefficient.

Usage

set_dl(dir_grid = 100L, shape = 0.01, rate = 0.01)

# S3 method for class 'dlspec'
print(x, digits = max(3L, getOption("digits") - 3L), ...)

is.dlspec(x)

Arguments

dir_grid

Griddy gibbs grid size for Dirichlet hyperparameter

shape

Gamma shape

rate

Gamma rate

x

dlspec

digits

digit option to print

...

not used

Value

dlspec object

References

Bhattacharya, A., Pati, D., Pillai, N. S., & Dunson, D. B. (2015). Dirichlet-Laplace Priors for Optimal Shrinkage. Journal of the American Statistical Association, 110(512), 1479-1490.

Korobilis, D., & Shimizu, K. (2022). Bayesian Approaches to Shrinkage and Sparse Estimation. Foundations and Trends® in Econometrics, 11(4), 230-354.