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Set SSVS hyperparameters for VAR or VHAR coefficient matrix and Cholesky factor.

Usage

set_ssvs(
  spike_grid = 100L,
  slab_shape = 0.01,
  slab_scl = 0.01,
  s1 = c(1, 1),
  s2 = c(1, 1),
  shape = 0.01,
  rate = 0.01
)

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

is.ssvsinput(x)

# S3 method for class 'ssvsinput'
knit_print(x, ...)

Arguments

spike_grid

Griddy gibbs grid size for scaling factor (between 0 and 1) of spike sd which is Spike sd = c * slab sd

slab_shape

Inverse gamma shape for slab sd

slab_scl

Inverse gamma scale for slab sd

s1

First shape of coefficients prior beta distribution

s2

Second shape of coefficients prior beta distribution

shape

Gamma shape parameters for precision matrix (See Details).

rate

Gamma rate parameters for precision matrix (See Details).

x

Any object

digits

digit option to print

...

not used

Value

ssvsinput object

Details

Let \(\alpha\) be the vectorized coefficient, \(\alpha = vec(A)\). Spike-slab prior is given using two normal distributions. $$\alpha_j \mid \gamma_j \sim (1 - \gamma_j) N(0, \tau_{0j}^2) + \gamma_j N(0, \tau_{1j}^2)$$ As spike-slab prior itself suggests, set \(\tau_{0j}\) small (point mass at zero: spike distribution) and set \(\tau_{1j}\) large (symmetric by zero: slab distribution).

\(\gamma_j\) is the proportion of the nonzero coefficients and it follows $$\gamma_j \sim Bernoulli(p_j)$$

  • coef_spike: \(\tau_{0j}\)

  • coef_slab: \(\tau_{1j}\)

  • coef_mixture: \(p_j\)

  • \(j = 1, \ldots, mk\): vectorized format corresponding to coefficient matrix

  • If one value is provided, model function will read it by replicated value.

  • coef_non: vectorized constant term is given prior Normal distribution with variance \(cI\). Here, coef_non is \(\sqrt{c}\).

Next for precision matrix \(\Sigma_e^{-1}\), SSVS applies Cholesky decomposition. $$\Sigma_e^{-1} = \Psi \Psi^T$$ where \(\Psi = \{\psi_{ij}\}\) is upper triangular.

Diagonal components follow the gamma distribution. $$\psi_{jj}^2 \sim Gamma(shape = a_j, rate = b_j)$$ For each row of off-diagonal (upper-triangular) components, we apply spike-slab prior again. $$\psi_{ij} \mid w_{ij} \sim (1 - w_{ij}) N(0, \kappa_{0,ij}^2) + w_{ij} N(0, \kappa_{1,ij}^2)$$ $$w_{ij} \sim Bernoulli(q_{ij})$$

  • shape: \(a_j\)

  • rate: \(b_j\)

  • chol_spike: \(\kappa_{0,ij}\)

  • chol_slab: \(\kappa_{1,ij}\)

  • chol_mixture: \(q_{ij}\)

  • \(j = 1, \ldots, mk\): vectorized format corresponding to coefficient matrix

  • \(i = 1, \ldots, j - 1\) and \(j = 2, \ldots, m\): \(\eta = (\psi_{12}, \psi_{13}, \psi_{23}, \psi_{14}, \ldots, \psi_{34}, \ldots, \psi_{1m}, \ldots, \psi_{m - 1, m})^T\)

  • chol_ arguments can be one value for replication, vector, or upper triangular matrix.

References

George, E. I., & McCulloch, R. E. (1993). Variable Selection via Gibbs Sampling. Journal of the American Statistical Association, 88(423), 881-889.

George, E. I., Sun, D., & Ni, S. (2008). Bayesian stochastic search for VAR model restrictions. Journal of Econometrics, 142(1), 553-580.

Ishwaran, H., & Rao, J. S. (2005). Spike and slab variable selection: Frequentist and Bayesian strategies. The Annals of Statistics, 33(2).

Koop, G., & Korobilis, D. (2009). Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. Foundations and Trends® in Econometrics, 3(4), 267-358.