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lambda
2011 Feb 04
0
MSBVAR and hc.forecast
...1,100.1,1.1,2.1,3.1,100.1)
b = c(1.1,1.1,1.1,100.1,1.1,1.1,1.1,100.1,1.1,1.1,1.,100.1,1.1,1.1,1.1,100.1,1.1,1.1,1.1,100.1,1.1,1.1,1.,100.1)
K <-ts(cbind(a,b),start=c(1.1,1.1), names=c("a","b"))
fit.bvar <- szbvar(K, p = 1, lambda0=0.6, lambda=0.1, lambda3=2,
lambda4=0.25,lambda5=0,mu5=0, mu6=0, prior=0)
y <- matrix(c(rep(0,8),c(1.10,1.10,1.10,100.1,1.10,1.10,1.0,100.10)),ncol=2)
h <- hc.forecast(fit.bvar,y,nsteps=8,burnin=300, gibbs=500,exog=NULL)