sv_prior {ASV}

Compute the logarithm of the prior density for the stochastic volatility models without leverage

Description

This function computes the logarithm of the prior density for stochastic volatility models without leverage (symmetric stochastic volatility models):

mu~N(mu_0,sigma_0^2), (phi+1)/2~Beta(a_0,b_0), sigma_eta^2~IG(n_0/2,S_0/2)

Usage

sv_prior(Theta_star, vHyper = NULL)

Arguments

Theta_star

a vector of parameters to evaluate the prior density: Theta_star = c(mu, phi, sigma_eta)

vHyper

a vector of hyper-parameters to evaluate the prior density: vHyper = c(mu_0, sigma_0, a_0, b_0, n_0, S_0)

Value

The logarithm of the prior density.

Author(s)

Yasuhiro Omori

Examples

vhyper     = c(0, 1, 20, 1.5, 5, 0.05)
theta_star = c(0, 0.97, 0.3) 
sv_prior(theta_star, vhyper)