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This function computes the logarithm of the prior density for stochastic volatility models without leverage (symmetric stochastic volatility models):
mu~N(mu_0,sigma_0^2), (phi+1)/2~Beta(a_0,b_0), sigma_eta^2~IG(n_0/2,S_0/2)
sv_prior(Theta_star, vHyper = NULL)
The logarithm of the prior density.
a vector of parameters to evaluate the prior density: Theta_star = c(mu, phi, sigma_eta)
a vector of hyper-parameters to evaluate the prior density: vHyper = c(mu_0, sigma_0, a_0, b_0, n_0, S_0)
Yasuhiro Omori
vhyper = c(0, 1, 20, 1.5, 5, 0.05) theta_star = c(0, 0.97, 0.3) sv_prior(theta_star, vhyper)
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