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