This function fits VHAR-SV. It can have Minnesota, SSVS, and Horseshoe prior.
Usage
bvhar_sv(
y,
har = c(5, 22),
num_chains = 1,
num_iter = 1000,
num_burn = floor(num_iter/2),
thinning = 1,
bayes_spec = set_bvhar(),
sv_spec = set_sv(),
intercept = set_intercept(),
include_mean = TRUE,
minnesota = c("longrun", "short", "no"),
save_init = FALSE,
verbose = FALSE,
num_thread = 1
)
# S3 method for bvharsv
print(x, digits = max(3L, getOption("digits") - 3L), ...)
# S3 method for bvharsv
knit_print(x, ...)
Arguments
- y
Time series data of which columns indicate the variables
- har
Numeric vector for weekly and monthly order. By default,
c(5, 22)
.- num_chains
Number of MCMC chains
- num_iter
MCMC iteration number
- num_burn
Number of burn-in (warm-up). Half of the iteration is the default choice.
- thinning
Thinning every thinning-th iteration
- bayes_spec
A BVHAR model specification by
set_bvhar()
(default)set_weight_bvhar()
,set_ssvs()
, orset_horseshoe()
.- sv_spec
SV specification by
set_sv()
.- intercept
Prior for the constant term by
set_intercept()
.- include_mean
Add constant term (Default:
TRUE
) or not (FALSE
)- minnesota
Apply cross-variable shrinkage structure (Minnesota-way). Two type:
"short"
type and"longrun"
(default) type. You can also set"no"
.- save_init
Save every record starting from the initial values (
TRUE
). By default, exclude the initial values in the record (FALSE
), even whennum_burn = 0
andthinning = 1
. Ifnum_burn > 0
orthinning != 1
, this option is ignored.- verbose
Print the progress bar in the console. By default,
FALSE
.- num_thread
Number of threads
- x
bvarsv
object- digits
digit option to print
- ...
not used
Value
bvhar_sv()
returns an object named bvharsv
class. It is a list with the following components:
- phi_record
MCMC trace for vectorized coefficients (\(\phi\)) with posterior::draws_df format.
- h_record
MCMC trace for log-volatilities.
- a_record
MCMC trace for contemporaneous coefficients.
- h0_record
MCMC trace for initial log-volatilities.
- sigh_record
MCMC trace for log-volatilities variance.
- coefficients
Posterior mean of coefficients.
- chol_posterior
Posterior mean of contemporaneous effects.
- pip
Posterior inclusion probabilities.
- param
Every set of MCMC trace.
- group
Indicators for group.
- df
Numer of Coefficients:
3m + 1
or3m
- p
3 (The number of terms. It contains this element for usage in other functions.)
- week
Order for weekly term
- month
Order for monthly term
- m
Dimension of the data
- obs
Sample size used when training =
totobs
-p
- totobs
Total number of the observation
- call
Matched call
- process
Description of the model, e.g.
"VHAR_SSVS_SV",
"VHAR_Horseshoe_SV", or"VHAR_minnesota-part_SV"} \item{type}{include constant term (
"const") or not (
"none"`)- spec
Coefficients prior specification
- sv
log volatility prior specification
- chain
The numer of chains
- iter
Total iterations
- burn
Burn-in
- thin
Thinning
- HARtrans
VHAR linear transformation matrix
- y0
\(Y_0\)
- design
\(X_0\)
- y
Raw input
Different members are added according to priors. If it is SSVS:
- gamma_record
MCMC trace for dummy variable.
Horseshoe:
- lambda_record
MCMC trace for local shrinkage level.
- tau_record
MCMC trace for global shrinkage level.
- kappa_record
MCMC trace for shrinkage factor.