formSmpl {bayesGARCH}R Documentation

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 classe 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).

Note

Please cite the package in publications. Use citation("bayesGARCH").

Author(s)

David Ardia <david.ardia@unifr.ch>

See Also

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

Examples

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

  ## RUN THE ESTIMATION
  MCMC <- bayesGARCH(y, control = list(n.chain = 2, l.chain = 1000))

  ## FORM THE SAMPLE FROM THE MCMC OUTPUT
  smpl <- formSmpl(MCMC, l.bi = 500, batch.size = 2)

  ## POSTERIOR STATISTICS
  summary(smpl)

[Package bayesGARCH version 1-00.02 Index]