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bvhar 2.0.0
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@ygeunkim ygeunkim released this 15 Feb 02:21
· 0 commits to 091a5efd695c1922ad8f1754b97844d1569caacc since this release
v2.0.0
88957f1

  • Start to implement OOP in C++ source for each model, ready for major update.

  • Add SV specification (sv_spec argument) in bvhar_sv() and bvar_sv() (set_sv()).

  • Prevent SSVS overflow issues by using log-sum-exp trick when computing Bernoulli posterior probability.

  • Add separate constant term prior specification (intercept) in bvhar_sv() and bvar_sv() (set_intercept()).

  • Convert every header file inst/include to header-only format. This enables external inclusion of our classes, structs, and Rcpp functions by using LinkingTo (in R package development) or // [[Rcpp::depends(RcppEigen, BH, bvhar)]].

Parallel Chain MCMC

  • Use OpenMP parallel for loop

  • Progress bar will show the status only for master thread when OpenMP enabled.

  • Interruption detect will just save values and break the loop, not return immediately.

  • Do burn-in and thinning in each returnRecords() method to make pre-process parallel chains easier.

  • Use boost library (BH package) RNG instead of Rf_* RNG of Rcpp for thread-safety.

  • Introduce function overloading to internal Rcpp random generation functions temporarily.
    It's for maintaining set.seed() usage of some functions.

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