bayesGARCH (version 2.1.10)

formSmpl: Form the Posterior Sample

Description

Form the joint posterior sampler from the MCMC output.

Usage

  formSmpl(MCMC, l.bi = 0, batch.size = 1)

Arguments

MCMC

object of the class mcmc.list (R package coda) or a list of matrices or a matrix.

l.bi

length of the burn-in phase.

batch.size

batching size used to diminish the autocorrelation within the chains.

Value

The joint posterior sample as an mcmc object (R package coda).

See Also

bayesGARCH for the Bayesian estimation of the GARCH(1,1) model with Student-t innovations.

Examples

# NOT RUN {
  ## !!! INCREASE THE NUMBER OF MCMC ITERATIONS !!!

  ## LOAD DATA SET
  data(dem2gbp)
  y <- dem2gbp[1:750]

  ## RUN THE ESTIMATION
  MCMC <- bayesGARCH(y, control = list(n.chain = 2, l.chain = 100))

  ## FORM THE SAMPLE FROM THE MCMC OUTPUT
  smpl <- formSmpl(MCMC, l.bi = 50, batch.size = 2)

  ## POSTERIOR STATISTICS
  summary(smpl)
# }