Predicts precision matrix and its determinant (Woodbury variant)
predprecWB simulates from the posterior predictive distribution
of the model-implied precision matrix and its determinant
using the Woodbury matrix identity and the matrix determinant lemma
predprecWB(x, ahead = 1, each = 1)
x |
Object of class |
ahead |
Vector of timepoints, indicating how many steps to predict ahead. |
each |
Single integer (or coercible to such) indicating how often should be drawn from the posterior predictive distribution for each draw that has been stored during MCMC sampling. |
List containing two elements:
precisionArray containing the draws of the predicted precision matrix.
precisionlogdetMatrix containing the draws of the determinant of the predicted precision matrix.
Currently crudely implemented as a triple loop in pure R, may be slow.
Usually used for evaluating the predictive likelihood when many
series but few factors are used, see
predloglik and predloglikWB.
Other predictors:
predcond(),
predcor(),
predcov(),
predh(),
predloglikWB(),
predloglik()
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