R: Posterior Density of Constant Variance, Stochastic Volatility...
dcvts
R Documentation
Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.
Description
This function is intended for internal use only. It calculates the posterior density of a constant variance, stochastic volatility or random variance shift time series model given a set of sample of parameter values.
Usage
dcvts(bug, sims, ymean, hmean = NULL, iter = NULL)
dsvts(bug, sims, ymean, hmean = NULL, iter = NULL)
drvts(bug, sims, ymean, hmean = NULL, iter = NULL)
Arguments
bug
A BUGS model created in the tsbugs package.
sims
A data.frame of simulated parameter values with column names labelled according to output from the R2OpenBUGS package.
ymean
A data.frame of mean values for response y, the fitted mean process. Columns represent time and rows represent simulations.
hmean
A data.frame of mean values for h, the fitted volatility process. Columns represent time and rows represent simulations. This argument is not used for dcvts.
iter
Prints the contributions of each iteration (simulation) number to the density calculation. By default is set to NULL, hence no values are printed.