formSmpl {bayesGARCH} | R Documentation |
Form the joint posterior sampler from the MCMC output.
formSmpl(MCMC, l.bi = 0, batch.size = 1)
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. |
The joint posterior sample as an mcmc
object (R package coda).
Please cite the package in publications. Use citation("bayesGARCH")
.
David Ardia <david.ardia@unifr.ch>
bayesGARCH
for the Bayesian estimation of the GARCH(1,1)
model with Student-t innovations.
## 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)