shrinkVARcoef {VARshrink}

Semiparametric Bayesian Shrinkage Estimator for Multivariate Regression

Description

Compute the semiparametric Bayesian shrinkage estimator of Psi and Sigma for a given shrinkage parameter lambda. The function is a private function for lm_semi_Bayes_PCV() and lm_ShVAR_KCV().

Usage

shrinkVARcoef(Y, X, lambda, dof = Inf, prior_type = "NCJ",
  TolDRes = 1e-04, m0 = ncol(Y))

Arguments

Y

An N x K matrix of dependent variables.

X

An N x M matrix of regressors.

lambda

A shrinkage intensity parameter value between 0~1.

dof

Degree of freedom for multivariate t-distribution. If NULL or Inf, then use multivariate normal distribution.

prior_type

"NCJ" for non-conjugate prior and "CJ" for conjugate prior for scale matrix Sigma.

TolDRes

Tolerance parameter for stopping criterion.

m0

A hyperparameter for inverse Wishart distribution for Sigma

References

N. Lee, H. Choi, and S.-H. Kim (2016). Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise. Computational Statistics & Data Analysis 101, 250-276. doi: 10.1016/j.csda.2016.03.007