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