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FMenchetti / CausalMBSTS

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make 'mbsts.mcmc' work with cycle and random slope components #12

Closed FMenchetti closed 4 years ago

FMenchetti commented 4 years ago

I've tested the function and it doesn't work with these two components (I defined matrix Q as a block-diagonal matrix whereas KFAS allocates the entries in a different way when these two components are present)

FMenchetti commented 4 years ago

I included a new function 'stateVarianceDef' that samples the prior/posterior var-covar matrix for each state component (trend, slope, seasonal, cycle) and then translates the resulting matrix in KFAS format (needed to pass everything to 'simulateSSM'). I'll soon integrate this function into 'mbsts.mcmc'.

FMenchetti commented 4 years ago

done!