.gibbsStepDT {RGAP} | R Documentation |
Draws from the posterior of the parameters of the damped trend equation, conditional on the states.
.gibbsStepDT(Y, par, distr, varName)
Y |
A |
par |
A |
distr |
A |
varName |
A |
The three parameters are drawn sequentially in a Gibbs procedure. (conditional on the two other parameters).
The parameter \omega
is drawn from a normal posterior which is obtained
by conjugancy.
The autoregressive parameter \phi
is drawn via a Metropolis-Hastings step.
The innovation variance is drwan from the Inverse-Gamma distribution which obtained by conjugacy.