Calculate log marginal data density

Calculate log marginal data density

bvar_conj_mdd(model)

Arguments

model	estimated conjugate N-IW model

Value

log of marginal data density

Details

Calculate log marginal data density. Formula (22) from Carriero "Bayesian VARs: Specification Choices and Forecast Accuracy" section 4.1.

Examples

data(Yraw)
setup <- bvar_conj_setup(Yraw, p = 4)
#> Calculation of hyperparameters from lambdas is not implemented yet :(
#> You may safely ignore the message if you supply lambdas :)
model <- bvar_conj_estimate(setup = setup, keep = 100)
bvar_conj_mdd(model)
#> [1] -404.5785