corrected sampler for nu #2

bsvars · May 12, 2024 · c87b42e · c87b42e
1 parent 906a6bd
commit c87b42e
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Showing 2 changed files with 3 additions and 2 deletions.
diff --git a/R/specify_bvarpanel.R b/R/specify_bvarpanel.R
@@ -94,7 +94,7 @@ specify_prior_bvarPANEL = R6::R6Class(
       self$S_Sigma_inv  = diag(N)
       self$eta          = N + 1
       self$mu_Sigma     = N + 1
-      self$lambda       = 0.1
+      self$lambda       = 0.01385
       self$mu_m         = 1
       self$sigma2_m     = 1
       self$s_w          = 1
@@ -210,7 +210,7 @@ specify_starting_values_bvarPANEL = R6::R6Class(
       self$A          = matrix(stats::rnorm(K * N, sd = 0.001), K, N) + diag(K)[,1:N]
       self$V          = stats::rWishart(1, K + 1, diag(K))[,,1]
       self$Sigma      = stats::rWishart(1, N + 1, diag(N))[,,1]
-      self$nu         = stats::rgamma(1, 3)
+      self$nu         = 30 #stats::rgamma(1, shape = 1, scale = 30)
       self$m          = stats::rnorm(1, sd = 0.001)
       self$w          = stats::rgamma(1, 1)
       self$s          = stats::rgamma(1, 1)

diff --git a/src/sample_mniw.cpp b/src/sample_mniw.cpp
@@ -169,6 +169,7 @@ double sample_nu (
     Cov_nu_tmp       += R::psigamma( 0.5 * (aux_nu + 1 - n), 1);
   } // END n loop
   Cov_nu             += 1 / Cov_nu_tmp;  
+  Cov_nu              = sqrt(Cov_nu);
 
   // Metropolis-Hastings
   double aux_nu_star  = RcppTN::rtn1( aux_nu, Cov_nu, N + 1, R_PosInf );