.gibbsStepDT {RGAP} | R Documentation |
Draws from the posterior of the parameters of the damped trend equation, conditional on the states.
Description
Draws from the posterior of the parameters of the damped trend equation, conditional on the states.
Usage
.gibbsStepDT(Y, par, distr, varName)
Arguments
Y |
A |
par |
A |
distr |
A |
varName |
A |
Details
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.
[Package RGAP version 0.1.1 Index]