Manual specification of offset constant for stochvol

franzmohr · Dec 11, 2023 · a18ef3a · a18ef3a
1 parent ff90fa2
commit a18ef3a
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Showing 7 changed files with 30 additions and 30 deletions.
diff --git a/R/RcppExports.R b/R/RcppExports.R
@@ -623,11 +623,11 @@ post_normal_sur <- function(y, z, sigma_i, a_prior, v_i_prior, svd = FALSE) {
 #' y <- us_macrodata[, "r"]
 #' 
 #' # Initialise log-volatilites
-#' h_init <- log(var(y))
-#' h <- rep(h_init, length(y))
+#' h_init <- matrix(log(var(y)))
+#' h <- matrix(rep(h_init, length(y)))
 #' 
 #' # Obtain draw
-#' stoch_vol(y - mean(y), h, .05, h_init, 0.0001)
+#' stoch_vol(y - mean(y), h, matrix(.05), h_init, matrix(0.0001))
 #' 
 #' @references
 #' 
@@ -681,11 +681,11 @@ stoch_vol <- function(y, h, sigma, h_init, constant) {
 #' y <- us_macrodata[, "r"]
 #' 
 #' # Initialise log-volatilites
-#' h_init <- log(var(y))
-#' h <- rep(h_init, length(y))
+#' h_init <- matrix(log(var(y)))
+#' h <- matrix(rep(h_init, length(y)))
 #' 
 #' # Obtain draw
-#' stochvol_ksc1998(y - mean(y), h, .05, h_init, 0.0001)
+#' stochvol_ksc1998(y - mean(y), h, matrix(.05), h_init, matrix(0.0001))
 #' 
 #' @references
 #' 
@@ -732,11 +732,11 @@ stochvol_ksc1998 <- function(y, h, sigma, h_init, constant) {
 #' y <- us_macrodata[, "r"]
 #' 
 #' # Initialise log-volatilites
-#' h_init <- log(var(y))
-#' h <- rep(h_init, length(y))
+#' h_init <- matrix(log(var(y)))
+#' h <- matrix(rep(h_init, length(y)))
 #' 
 #' # Obtain draw
-#' stochvol_ocsn2007(y - mean(y), h, .05, h_init, 0.0001)
+#' stochvol_ocsn2007(y - mean(y), matrix(h), matrix(.05), h_init, matrix(0.0001))
 #' 
 #' @references
 #' 

diff --git a/man/stoch_vol.Rd b/man/stoch_vol.Rd
diff --git a/man/stochvol_ksc1998.Rd b/man/stochvol_ksc1998.Rd
diff --git a/man/stochvol_ocsn2007.Rd b/man/stochvol_ocsn2007.Rd
diff --git a/src/stoch_vol.cpp b/src/stoch_vol.cpp
@@ -23,11 +23,11 @@
 //' y <- us_macrodata[, "r"]
 //' 
 //' # Initialise log-volatilites
-//' h_init <- log(var(y))
-//' h <- rep(h_init, length(y))
+//' h_init <- matrix(log(var(y)))
+//' h <- matrix(rep(h_init, length(y)))
 //' 
 //' # Obtain draw
-//' stoch_vol(y - mean(y), h, .05, h_init, 0.0001)
+//' stoch_vol(y - mean(y), h, matrix(.05), h_init, matrix(0.0001))
 //' 
 //' @references
 //' 

diff --git a/src/stochvol_ksc1998.cpp b/src/stochvol_ksc1998.cpp
@@ -42,11 +42,11 @@
 //' y <- us_macrodata[, "r"]
 //' 
 //' # Initialise log-volatilites
-//' h_init <- log(var(y))
-//' h <- rep(h_init, length(y))
+//' h_init <- matrix(log(var(y)))
+//' h <- matrix(rep(h_init, length(y)))
 //' 
 //' # Obtain draw
-//' stochvol_ksc1998(y - mean(y), h, .05, h_init, 0.0001)
+//' stochvol_ksc1998(y - mean(y), h, matrix(.05), h_init, matrix(0.0001))
 //' 
 //' @references
 //' 

diff --git a/src/stochvol_ocsn2007.cpp b/src/stochvol_ocsn2007.cpp
@@ -35,11 +35,11 @@
 //' y <- us_macrodata[, "r"]
 //' 
 //' # Initialise log-volatilites
-//' h_init <- log(var(y))
-//' h <- rep(h_init, length(y))
+//' h_init <- matrix(log(var(y)))
+//' h <- matrix(rep(h_init, length(y)))
 //' 
 //' # Obtain draw
-//' stochvol_ocsn2007(y - mean(y), h, .05, h_init, 0.0001)
+//' stochvol_ocsn2007(y - mean(y), matrix(h), matrix(.05), h_init, matrix(0.0001))
 //' 
 //' @references
 //' 
@@ -98,8 +98,8 @@ arma::mat stochvol_ocsn2007(arma::vec y, arma::vec h, double sigma, double h_ini
 
 data("us_macrodata")
 aud <- us_macrodata[, 1]
-h_init <- log(var(aud))
-h <- rep(h_init, length(aud))
-stochvol_ocsn2007(aud - mean(aud), h, .05, h_init, 0.0001)
+h_init <- matrix(log(var(aud)))
+h <- matrix(rep(h_init, length(aud)))
+stochvol_ocsn2007(aud - mean(aud), h, matrix(.05), h_init, matrix(0.0001))
 
 ***/