Calculate hyperparameters from artificial observations
bvar_conj_dummy2hyper(Y_star, X_star)
| Y_star | [T_star x m] matrix of left hand side endogeneous variables |
|---|---|
| X_star | [T_star x k] matrix of right hand side regressors: endogeneous and exogeneous variables |
list of hyperparameters: Omega, Omega_root, Phi, S
Calculate hyperparameters from artificial observations. Can be used both for prior and posterior hyperparameters. In the case of prior hyperparameters X_star usually consists of X_cniw, X_io and X_sc. In the case of posterior hyperparameters X_star usually consists of X, X_cniw, X_io and X_sc.
data(Yraw) X <- bvar_build_X(Yraw, constant = TRUE, p = 4) Y <- bvar_build_Y(Yraw, p = 4) post <- bvar_conj_dummy2hyper(Y,X) # no dummy observation, just for demo