Bayesian Vector Heterogeneous Autoregressive Modeling

---

Documentation for package ‘bvhar’ version 2.1.0

• DESCRIPTION file.
• Package NEWS.

Help Pages

A B C D E F G H I K L M P R S V

-- A --

AIC.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
AIC.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
AIC.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
AIC.varlse	Fitting Vector Autoregressive Model of Order p Model
AIC.vharlse	Fitting Vector Heterogeneous Autoregressive Model
autolayer.predbvhar	Plot Forecast Result
autoplot.bvhardynsp	Dynamic Spillover Indices Plot
autoplot.bvharirf	Plot Impulse Responses
autoplot.bvharsp	Plot the Result of BVAR and BVHAR MCMC
autoplot.normaliw	Residual Plot for Minnesota Prior VAR Model
autoplot.predbvhar	Plot Forecast Result
autoplot.summary.bvharsp	Plot the Heatmap of SSVS Coefficients
autoplot.summary.normaliw	Density Plot for Minnesota Prior VAR Model

-- B --

BIC.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
BIC.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
BIC.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
BIC.varlse	Fitting Vector Autoregressive Model of Order p Model
BIC.vharlse	Fitting Vector Heterogeneous Autoregressive Model
bound_bvhar	Setting Empirical Bayes Optimization Bounds
bvar_flat	Fitting Bayesian VAR(p) of Flat Prior
bvar_horseshoe	Fitting Bayesian VAR(p) of Horseshoe Prior
bvar_minnesota	Fitting Bayesian VAR(p) of Minnesota Prior
bvar_ssvs	Fitting Bayesian VAR(p) of SSVS Prior
bvar_sv	Fitting Bayesian VAR-SV
bvhar_horseshoe	Fitting Bayesian VHAR of Horseshoe Prior
bvhar_minnesota	Fitting Bayesian VHAR of Minnesota Prior
bvhar_ssvs	Fitting Bayesian VHAR of SSVS Prior
bvhar_sv	Fitting Bayesian VHAR-SV

-- C --

choose_bayes	Finding the Set of Hyperparameters of Bayesian Model
choose_bvar	Finding the Set of Hyperparameters of Individual Bayesian Model
choose_bvhar	Finding the Set of Hyperparameters of Individual Bayesian Model
choose_ssvs	Choose the Hyperparameters Set of SSVS-VAR using a Default Semiautomatic Approach
choose_var	Choose the Best VAR based on Information Criteria
coef	Coefficient Matrix of Multivariate Time Series Models
coef.bvarflat	Coefficient Matrix of Multivariate Time Series Models
coef.bvarmn	Coefficient Matrix of Multivariate Time Series Models
coef.bvharmn	Coefficient Matrix of Multivariate Time Series Models
coef.bvharsp	Coefficient Matrix of Multivariate Time Series Models
coef.summary.bvharsp	Coefficient Matrix of Multivariate Time Series Models
coef.varlse	Coefficient Matrix of Multivariate Time Series Models
coef.vharlse	Coefficient Matrix of Multivariate Time Series Models
compute_dic	Deviance Information Criterion of Multivariate Time Series Model
compute_dic.bvarmn	Deviance Information Criterion of Multivariate Time Series Model
compute_logml	Extracting Log of Marginal Likelihood
compute_logml.bvarmn	Extracting Log of Marginal Likelihood
compute_logml.bvharmn	Extracting Log of Marginal Likelihood
confusion	Evaluate the Sparsity Estimation Based on Confusion Matrix
confusion.summary.bvharsp	Evaluate the Sparsity Estimation Based on Confusion Matrix
conf_fdr	Evaluate the Sparsity Estimation Based on FDR
conf_fdr.summary.bvharsp	Evaluate the Sparsity Estimation Based on FDR
conf_fnr	Evaluate the Sparsity Estimation Based on FNR
conf_fnr.summary.bvharsp	Evaluate the Sparsity Estimation Based on FNR
conf_fscore	Evaluate the Sparsity Estimation Based on F1 Score
conf_fscore.summary.bvharsp	Evaluate the Sparsity Estimation Based on F1 Score
conf_prec	Evaluate the Sparsity Estimation Based on Precision
conf_prec.summary.bvharsp	Evaluate the Sparsity Estimation Based on Precision
conf_recall	Evaluate the Sparsity Estimation Based on Recall
conf_recall.summary.bvharsp	Evaluate the Sparsity Estimation Based on Recall

-- D --

divide_ts	Split a Time Series Dataset into Train-Test Set
dynamic_spillover	Dynamic Spillover
dynamic_spillover.ldltmod	Dynamic Spillover
dynamic_spillover.normaliw	Dynamic Spillover
dynamic_spillover.olsmod	Dynamic Spillover
dynamic_spillover.svmod	Dynamic Spillover

-- E --

etf_vix

CBOE ETF Volatility Index Dataset

-- F --

fitted	Fitted Matrix from Multivariate Time Series Models
fitted.bvarflat	Fitted Matrix from Multivariate Time Series Models
fitted.bvarmn	Fitted Matrix from Multivariate Time Series Models
fitted.bvharmn	Fitted Matrix from Multivariate Time Series Models
fitted.varlse	Fitted Matrix from Multivariate Time Series Models
fitted.vharlse	Fitted Matrix from Multivariate Time Series Models
forecast_expand	Out-of-sample Forecasting based on Expanding Window
forecast_expand.ldltmod	Out-of-sample Forecasting based on Expanding Window
forecast_expand.normaliw	Out-of-sample Forecasting based on Expanding Window
forecast_expand.olsmod	Out-of-sample Forecasting based on Expanding Window
forecast_expand.svmod	Out-of-sample Forecasting based on Expanding Window
forecast_roll	Out-of-sample Forecasting based on Rolling Window
forecast_roll.ldltmod	Out-of-sample Forecasting based on Rolling Window
forecast_roll.normaliw	Out-of-sample Forecasting based on Rolling Window
forecast_roll.olsmod	Out-of-sample Forecasting based on Rolling Window
forecast_roll.svmod	Out-of-sample Forecasting based on Rolling Window
FPE	Final Prediction Error Criterion
FPE.varlse	Final Prediction Error Criterion
FPE.vharlse	Final Prediction Error Criterion
fromse	Evaluate the Estimation Based on Frobenius Norm
fromse.bvharsp	Evaluate the Estimation Based on Frobenius Norm

-- G --

geom_eval	Adding Test Data Layer
gg_loss	Compare Lists of Models

-- H --

HQ	Hannan-Quinn Criterion
HQ.bvarflat	Hannan-Quinn Criterion
HQ.bvarmn	Hannan-Quinn Criterion
HQ.bvharmn	Hannan-Quinn Criterion
HQ.logLik	Hannan-Quinn Criterion
HQ.varlse	Hannan-Quinn Criterion
HQ.vharlse	Hannan-Quinn Criterion

-- I --

init_ssvs	Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
irf	Impulse Response Analysis
irf.varlse	Impulse Response Analysis
irf.vharlse	Impulse Response Analysis
is.boundbvharemp	Setting Empirical Bayes Optimization Bounds
is.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
is.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
is.bvharcv	Out-of-sample Forecasting based on Rolling Window
is.bvharemp	Finding the Set of Hyperparameters of Individual Bayesian Model
is.bvharirf	Impulse Response Analysis
is.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
is.bvharmod	Fitting Vector Autoregressive Model of Order p Model
is.bvharpriorspec	Hyperpriors for Bayesian Models
is.bvharspec	Hyperparameters for Bayesian Models
is.covspec	Covariance Matrix Prior Specification
is.dlspec	Dirichlet-Laplace Hyperparameter for Coefficients and Contemporaneous Coefficients
is.horseshoespec	Horseshoe Prior Specification
is.interceptspec	Prior for Constant Term
is.ldltspec	Covariance Matrix Prior Specification
is.ngspec	Normal-Gamma Hyperparameter for Coefficients and Contemporaneous Coefficients
is.predbvhar	Forecasting Multivariate Time Series
is.ssvsinit	Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
is.ssvsinput	Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
is.stable	Stability of the process
is.stable.bvarflat	Stability of the process
is.stable.bvarmn	Stability of the process
is.stable.bvharmn	Stability of the process
is.stable.varlse	Stability of the process
is.stable.vharlse	Stability of the process
is.svspec	Covariance Matrix Prior Specification
is.varlse	Fitting Vector Autoregressive Model of Order p Model
is.vharlse	Fitting Vector Heterogeneous Autoregressive Model

-- K --

knit_print.boundbvharemp	Setting Empirical Bayes Optimization Bounds
knit_print.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
knit_print.bvarhm	Fitting Bayesian VAR(p) of Minnesota Prior
knit_print.bvarhs	Fitting Bayesian VAR(p) of Horseshoe Prior
knit_print.bvarldlt	Fitting Bayesian VAR with Coefficient and Covariance Prior
knit_print.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
knit_print.bvarssvs	Fitting Bayesian VAR(p) of SSVS Prior
knit_print.bvarsv	Fitting Bayesian VAR-SV
knit_print.bvharcv	Out-of-sample Forecasting based on Rolling Window
knit_print.bvhardynsp	Dynamic Spillover
knit_print.bvharemp	Finding the Set of Hyperparameters of Individual Bayesian Model
knit_print.bvharhm	Fitting Bayesian VHAR of Minnesota Prior
knit_print.bvharhs	Fitting Bayesian VHAR of Horseshoe Prior
knit_print.bvharirf	Impulse Response Analysis
knit_print.bvharldlt	Fitting Bayesian VHAR with Coefficient and Covariance Prior
knit_print.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
knit_print.bvharpriorspec	Hyperpriors for Bayesian Models
knit_print.bvharspec	Hyperparameters for Bayesian Models
knit_print.bvharspillover	h-step ahead Normalized Spillover
knit_print.bvharssvs	Fitting Bayesian VHAR of SSVS Prior
knit_print.bvharsv	Fitting Bayesian VHAR-SV
knit_print.horseshoespec	Horseshoe Prior Specification
knit_print.interceptspec	Prior for Constant Term
knit_print.predbvhar	Forecasting Multivariate Time Series
knit_print.ssvsinit	Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
knit_print.ssvsinput	Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
knit_print.summary.bvharsp	Summarizing BVAR and BVHAR with Shrinkage Priors
knit_print.summary.normaliw	Summarizing Bayesian Multivariate Time Series Model
knit_print.summary.varlse	Summarizing Vector Autoregressive Model
knit_print.summary.vharlse	Summarizing Vector HAR Model
knit_print.varlse	Fitting Vector Autoregressive Model of Order p Model
knit_print.vharlse	Fitting Vector Heterogeneous Autoregressive Model

-- L --

logLik.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
logLik.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
logLik.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
logLik.varlse	Fitting Vector Autoregressive Model of Order p Model
logLik.vharlse	Fitting Vector Heterogeneous Autoregressive Model

-- M --

mae	Evaluate the Model Based on MAE (Mean Absolute Error)
mae.bvharcv	Evaluate the Model Based on MAE (Mean Absolute Error)
mae.predbvhar	Evaluate the Model Based on MAE (Mean Absolute Error)
mape	Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mape.bvharcv	Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mape.predbvhar	Evaluate the Model Based on MAPE (Mean Absolute Percentage Error)
mase	Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mase.bvharcv	Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mase.predbvhar	Evaluate the Model Based on MASE (Mean Absolute Scaled Error)
mrae	Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mrae.bvharcv	Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mrae.predbvhar	Evaluate the Model Based on MRAE (Mean Relative Absolute Error)
mse	Evaluate the Model Based on MSE (Mean Square Error)
mse.bvharcv	Evaluate the Model Based on MSE (Mean Square Error)
mse.predbvhar	Evaluate the Model Based on MSE (Mean Square Error)

-- P --

predict	Forecasting Multivariate Time Series
predict.bvarflat	Forecasting Multivariate Time Series
predict.bvarhs	Forecasting Multivariate Time Series
predict.bvarldlt	Forecasting Multivariate Time Series
predict.bvarmn	Forecasting Multivariate Time Series
predict.bvarssvs	Forecasting Multivariate Time Series
predict.bvarsv	Forecasting Multivariate Time Series
predict.bvharhs	Forecasting Multivariate Time Series
predict.bvharldlt	Forecasting Multivariate Time Series
predict.bvharmn	Forecasting Multivariate Time Series
predict.bvharssvs	Forecasting Multivariate Time Series
predict.bvharsv	Forecasting Multivariate Time Series
predict.varlse	Forecasting Multivariate Time Series
predict.vharlse	Forecasting Multivariate Time Series
print.boundbvharemp	Setting Empirical Bayes Optimization Bounds
print.bvarflat	Fitting Bayesian VAR(p) of Flat Prior
print.bvarhm	Fitting Bayesian VAR(p) of Minnesota Prior
print.bvarhs	Fitting Bayesian VAR(p) of Horseshoe Prior
print.bvarldlt	Fitting Bayesian VAR with Coefficient and Covariance Prior
print.bvarmn	Fitting Bayesian VAR(p) of Minnesota Prior
print.bvarssvs	Fitting Bayesian VAR(p) of SSVS Prior
print.bvarsv	Fitting Bayesian VAR-SV
print.bvharcv	Out-of-sample Forecasting based on Rolling Window
print.bvhardynsp	Dynamic Spillover
print.bvharemp	Finding the Set of Hyperparameters of Individual Bayesian Model
print.bvharhm	Fitting Bayesian VHAR of Minnesota Prior
print.bvharhs	Fitting Bayesian VHAR of Horseshoe Prior
print.bvharirf	Impulse Response Analysis
print.bvharldlt	Fitting Bayesian VHAR with Coefficient and Covariance Prior
print.bvharmn	Fitting Bayesian VHAR of Minnesota Prior
print.bvharpriorspec	Hyperpriors for Bayesian Models
print.bvharspec	Hyperparameters for Bayesian Models
print.bvharspillover	h-step ahead Normalized Spillover
print.bvharssvs	Fitting Bayesian VHAR of SSVS Prior
print.bvharsv	Fitting Bayesian VHAR-SV
print.covspec	Covariance Matrix Prior Specification
print.dlspec	Dirichlet-Laplace Hyperparameter for Coefficients and Contemporaneous Coefficients
print.horseshoespec	Horseshoe Prior Specification
print.interceptspec	Prior for Constant Term
print.ngspec	Normal-Gamma Hyperparameter for Coefficients and Contemporaneous Coefficients
print.predbvhar	Forecasting Multivariate Time Series
print.ssvsinit	Initial Parameters of Stochastic Search Variable Selection (SSVS) Model
print.ssvsinput	Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
print.summary.bvharsp	Summarizing BVAR and BVHAR with Shrinkage Priors
print.summary.normaliw	Summarizing Bayesian Multivariate Time Series Model
print.summary.varlse	Summarizing Vector Autoregressive Model
print.summary.vharlse	Summarizing Vector HAR Model
print.varlse	Fitting Vector Autoregressive Model of Order p Model
print.vharlse	Fitting Vector Heterogeneous Autoregressive Model

-- R --

relmae	Evaluate the Model Based on RelMAE (Relative MAE)
relmae.bvharcv	Evaluate the Model Based on RelMAE (Relative MAE)
relmae.predbvhar	Evaluate the Model Based on RelMAE (Relative MAE)
relspne	Evaluate the Estimation Based on Relative Spectral Norm Error
relspne.bvharsp	Evaluate the Estimation Based on Relative Spectral Norm Error
residuals	Residual Matrix from Multivariate Time Series Models
residuals.bvarflat	Residual Matrix from Multivariate Time Series Models
residuals.bvarmn	Residual Matrix from Multivariate Time Series Models
residuals.bvharmn	Residual Matrix from Multivariate Time Series Models
residuals.varlse	Residual Matrix from Multivariate Time Series Models
residuals.vharlse	Residual Matrix from Multivariate Time Series Models
rmafe	Evaluate the Model Based on RMAFE
rmafe.bvharcv	Evaluate the Model Based on RMAFE
rmafe.predbvhar	Evaluate the Model Based on RMAFE
rmape	Evaluate the Model Based on RMAPE (Relative MAPE)
rmape.bvharcv	Evaluate the Model Based on RMAPE (Relative MAPE)
rmape.predbvhar	Evaluate the Model Based on RMAPE (Relative MAPE)
rmase	Evaluate the Model Based on RMASE (Relative MASE)
rmase.bvharcv	Evaluate the Model Based on RMASE (Relative MASE)
rmase.predbvhar	Evaluate the Model Based on RMASE (Relative MASE)
rmsfe	Evaluate the Model Based on RMSFE
rmsfe.bvharcv	Evaluate the Model Based on RMSFE
rmsfe.predbvhar	Evaluate the Model Based on RMSFE

-- S --

set_bvar	Hyperparameters for Bayesian Models
set_bvar_flat	Hyperparameters for Bayesian Models
set_bvhar	Hyperparameters for Bayesian Models
set_dl	Dirichlet-Laplace Hyperparameter for Coefficients and Contemporaneous Coefficients
set_horseshoe	Horseshoe Prior Specification
set_intercept	Prior for Constant Term
set_lambda	Hyperpriors for Bayesian Models
set_ldlt	Covariance Matrix Prior Specification
set_ng	Normal-Gamma Hyperparameter for Coefficients and Contemporaneous Coefficients
set_psi	Hyperpriors for Bayesian Models
set_ssvs	Stochastic Search Variable Selection (SSVS) Hyperparameter for Coefficients Matrix and Cholesky Factor
set_sv	Covariance Matrix Prior Specification
set_weight_bvhar	Hyperparameters for Bayesian Models
sim_gig	Generate Generalized Inverse Gaussian Distribution
sim_horseshoe_var	Generate Horseshoe Parameters
sim_horseshoe_vhar	Generate Horseshoe Parameters
sim_iw	Generate Inverse-Wishart Random Matrix
sim_matgaussian	Generate Matrix Normal Random Matrix
sim_mncoef	Generate Minnesota BVAR Parameters
sim_mniw	Generate Normal-IW Random Family
sim_mnormal	Generate Multivariate Normal Random Vector
sim_mnvhar_coef	Generate Minnesota BVAR Parameters
sim_mvt	Generate Multivariate t Random Vector
sim_ssvs_var	Generate SSVS Parameters
sim_ssvs_vhar	Generate SSVS Parameters
sim_var	Generate Multivariate Time Series Process Following VAR(p)
sim_vhar	Generate Multivariate Time Series Process Following VAR(p)
spillover	h-step ahead Normalized Spillover
spillover.bvarldlt	h-step ahead Normalized Spillover
spillover.bvharldlt	h-step ahead Normalized Spillover
spillover.normaliw	h-step ahead Normalized Spillover
spillover.olsmod	h-step ahead Normalized Spillover
spne	Evaluate the Estimation Based on Spectral Norm Error
spne.bvharsp	Evaluate the Estimation Based on Spectral Norm Error
stableroot	Roots of characteristic polynomial
stableroot.bvarflat	Roots of characteristic polynomial
stableroot.bvarmn	Roots of characteristic polynomial
stableroot.bvharmn	Roots of characteristic polynomial
stableroot.varlse	Roots of characteristic polynomial
stableroot.vharlse	Roots of characteristic polynomial
summary.bvharsp	Summarizing BVAR and BVHAR with Shrinkage Priors
summary.hsmod	Summarizing BVAR and BVHAR with Shrinkage Priors
summary.ngmod	Summarizing BVAR and BVHAR with Shrinkage Priors
summary.normaliw	Summarizing Bayesian Multivariate Time Series Model
summary.ssvsmod	Summarizing BVAR and BVHAR with Shrinkage Priors
summary.varlse	Summarizing Vector Autoregressive Model
summary.vharlse	Summarizing Vector HAR Model

-- V --

VARtoVMA	Convert VAR to VMA(infinite)
var_bayes	Fitting Bayesian VAR with Coefficient and Covariance Prior
var_lm	Fitting Vector Autoregressive Model of Order p Model
VHARtoVMA	Convert VHAR to VMA(infinite)
vhar_bayes	Fitting Bayesian VHAR with Coefficient and Covariance Prior
vhar_lm	Fitting Vector Heterogeneous Autoregressive Model