update_regressors function

Single MCMC update of Bayesian linear regression

Samples the coefficients of a linear regression. The prior distribution is multivariate normal and it is specified in prior_spec.

update_regressors(dependent_variable, independent_variables, beta, prior_spec)

Arguments

• dependent_variable: the left hand side
• independent_variables: the matrix of the independent variables. Has to be of same height as the length of the dependent variable
• beta: the vector of the latent states used in MDA. Updated in place
• prior_spec: prior specification object. See type_definitions.h

See Also

Other stochvol_cpp: update_fast_sv(), update_general_sv(), update_t_error()