correct rho sampling for sv model closes #19

bsvars · Oct 6, 2022 · 47458ae · 47458ae
1 parent 75768ef
commit 47458ae
Showing 1 changed file with 8 additions and 1 deletion.
diff --git a/src/sv.cpp b/src/sv.cpp
@@ -209,7 +209,7 @@ List svar_nc1 (
   double    aux_rho_var = as_scalar(pow(hm1*hm1.t(), -1));
   double    aux_rho_mean = as_scalar(aux_rho_var * hm1*aux_h_n.cols(1,T-1).t());
   double    upper_bound = pow(1-aux_sigma2_omega_n, 0.5);
-  aux_rho_n             = RcppTN::rtn1(aux_rho_mean, pow(aux_rho_var, -0.5),-upper_bound,upper_bound);
+  aux_rho_n             = RcppTN::rtn1(aux_rho_mean, pow(aux_rho_var, 0.5),-upper_bound,upper_bound);
 
   mat       H_rho_new(T, T, fill::eye);
   H_rho_new.diag(-1)   -= aux_rho_n;
@@ -235,6 +235,13 @@ List svar_nc1 (
   aux_omega_n           = ss * sqrt(sigma2_aux);
   aux_h_n               = aux_h_tilde / aux_omega_n;
 
+  // ASIS: resample aux_rho
+  hm1                   = aux_h_n.cols(0,T-2);
+  aux_rho_var           = as_scalar(pow(hm1*hm1.t(), -1));
+  aux_rho_mean          = as_scalar(aux_rho_var * hm1*aux_h_n.cols(1,T-1).t());
+  upper_bound           = pow(1-aux_sigma2_omega_n, 0.5);
+  aux_rho_n             = RcppTN::rtn1(aux_rho_mean, pow(aux_rho_var, 0.5),-upper_bound,upper_bound);
+
   return List::create(
     _["aux_h_n"]              = aux_h_n,
     _["aux_rho_n"]            = aux_rho_n,