Reference
VAR
Vector autoregressive model
VarOls | OLS for Vector autoregressive model |
VarBayes | Bayesian Vector Autoregressive Model |
VHAR
Vector heterogeneous autoregressive model
VharOls | OLS for Vector heterogeneous autoregressive model |
VharBayes | Bayesian Vector Autoregressive Model |
Priors
Prior configuration
SsvsConfig | SSVS prior configuration |
HorseshoeConfig | Horseshoe prior configuration |
MinnesotaConfig | Minnesota prior configuration |
LambdaConfig | Hierarchical structure of Minnesota prior |
NgConfig | Normal-Gamma prior configuration |
DlConfig | Dirichlet-Laplace prior configuration |
LdltConfig | Prior for Covariance Matrix |
SvConfig | |
InterceptConfig | Prior for Constant term |
Random
Random generation functions
normal.generate_mnormal | generate_mnormal(arg0: int, arg1: numpy.ndarray[numpy.float64[m, 1]], arg2: numpy.ndarray[numpy.float64[m, n]], arg3: int, arg4: int) -> numpy.ndarray[numpy.float64[m, n]] |
normal.generate_gig | generate_gig(arg0: int, arg1: float, arg2: float, arg3: float, arg4: int) -> numpy.ndarray[numpy.float64[m, 1]] |
Datasets
Datasets
load_vix | Load and return the CBOE VIX of several ETF datasets |
Utility functions
Related to configuration
checkomp.is_omp | is_omp() -> bool |
checkomp.check_omp | check_omp() -> None |