Feedback on the past workshops (if you want to learn how to make wordclouds, check out Text Data Analysis workshop below)

We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this mode...

We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this mode...

Implements state-of-the-art algorithms for the Bayesian analysis of Structural Vector Autoregressions (SVARs) identified by sign, zero, and narrative restrictions. The core model is based on a flexibl...

I found two issues in src/forecast.cpp. 1. Non-centred SV forecasts The current code has: ht(n) = posterior_omega(n, s) * (posterior_rho(n, s) * ht(n) + xx); forecasts_sigma2(n, h, s) = exp...

Feedback on the past workshops (if you want to learn how to make wordclouds, check out Text Data Analysis workshop below)

I think I found a typo in src/sample_t.cpp, in function log_kernel_df(). The current code has: lk_df += 0.5 * T * aux_df * log(0.5 * (aux_df + 2)); lk_df -= 0.5 * (aux_df - 2) * accu(log(aux_lambda...