Calculate artificial observations from hyperparameters
bvar_conj_hyper2dummy(Omega, S, Phi)
| Omega | [k x k] hyperparameter, scale matrix for covariance of coefficients |
|---|---|
| S | [m x m] hyperparameter, scale matrix for IW-distribution |
| Phi | [k x m] hyperparameter, expected values of coefficients |
list of artificial observations: X_plus, Y_plus
Calculate artificial observations from hyperparameters. Usually used to calculate artificial observations from prior hyperparameters.
data(Yraw) X <- bvar_build_X(Yraw, constant = TRUE, p = 4) Y <- bvar_build_Y(Yraw, p = 4) hyper <- bvar_conj_dummy2hyper(Y, X) # no dummy observation, just for demo dummy <- bvar_conj_hyper2dummy(hyper$Omega, hyper$S, hyper$Phi)