stochvol: specify_priors – R documentation

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stochvol

specify_priors

Specify Prior Distributions for SV Models

Description

This function gives access to a larger set of prior distributions in case the default choice is unsatisfactory.

Usage

specify_priors(
  mu = sv_normal(mean = 0, sd = 100),
  phi = sv_beta(shape1 = 5, shape2 = 1.5),
  sigma2 = sv_gamma(shape = 0.5, rate = 0.5),
  nu = sv_infinity(),
  rho = sv_constant(0),
  latent0_variance = "stationary",
  beta = sv_multinormal(mean = 0, sd = 10000, dim = 1)
)

Arguments

`mu`	one of sv_normal and sv_constant
`phi`	one of sv_beta, sv_normal, and sv_constant. If sv_beta, then the specified beta distribution is the prior for (phi+1)/2
`sigma2`	one of sv_gamma, sv_inverse_gamma, and sv_constant
`nu`	one of sv_infinity, sv_exponential, and sv_constant. If sv_exponential, then the specified exponential distribution is the prior for nu-2
`rho`	one of sv_beta and sv_constant. If sv_beta, then the specified beta distribution is the prior for (rho+1)/2
`latent0_variance`	either the character string `"stationary"` or an sv_constant object. If `"stationary"`, then h0 ~ N(`mu`, `sigma^2/(1-phi^2)`). If an sv_constant object with value `v`, then h0 ~ N(`mu`, `v`). Here, N(b, B) stands for mean b and variance B
`beta`	an sv_multinormal object

specify_priors

Description

Usage

Arguments

See Also

stochvol

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