corrected sampler for nu #6

bsvars · Jun 2, 2024 · cb5cbce · cb5cbce
1 parent 44c5d30
commit cb5cbce
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Showing 2 changed files with 5 additions and 7 deletions.
diff --git a/R/specify_bvarpanel.R b/R/specify_bvarpanel.R
@@ -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         = 30 #stats::rgamma(1, shape = 1, scale = 30)
+      self$nu         = N + 1 + 0.1
       self$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
@@ -136,6 +136,9 @@ double log_kernel_nu (
 
   mat sum_aux_Sigma_c_inv(N, N);
   for (int c = 0; c < C; c++) {
+    double ldSc       = log_det_sympd(aux_Sigma_c_cpp.slice(c));
+    log_kernel_nu    -= 0.5 * (aux_nu + N + K + 1) * ldSc;
+
     sum_aux_Sigma_c_inv += aux_Sigma_c_inv.slice(c);
   }
   log_kernel_nu      -= 0.5 * (aux_nu - N - 1) * trace(aux_Sigma * sum_aux_Sigma_c_inv);
@@ -144,11 +147,6 @@ double log_kernel_nu (
     log_kernel_nu    -= C * R::lgammafn(0.5 * (aux_nu + 1 - n));
   } // EDN n loop
 
-  for (int c = 0; c < C; c++) {
-    double ldSc       = log_det_sympd(aux_Sigma_c_cpp.slice(c));
-    log_kernel_nu    -= 0.5 * (aux_nu + N + K + 1) * ldSc;
-  } // END c loop
-
   return log_kernel_nu;
 } // END log_kernel_nu
 
@@ -178,7 +176,7 @@ double sample_nu (
     Cov_nu           += R::psigamma( 0.5 * (aux_nu + 1 - n), 1);
   } // END n loop
   Cov_nu             *= (C / 4);  
-  Cov_nu             -= (C * N * (N + 2)) * (2 * (aux_nu - N -1));
+  Cov_nu             -= (C * N * aux_nu) * (2 * pow(aux_nu - N - 1, 2));
   Cov_nu              = sqrt(0.01 / Cov_nu);
 
   // Metropolis-Hastings