Sample innovation variance for dynamic additive effects

Sample innovation variance for dynamic additive effects

Usage

sample_sigma_ab_cpp(
  a_mat,
  b_mat,
  rho_ab,
  symmetric,
  prior_shape = 2,
  prior_scale = 1
)

Arguments

a_mat

Matrix of row effects (n x T)

b_mat

Matrix of column effects (n x T)

rho_ab

AR(1) parameter

symmetric

Whether the network is symmetric

prior_shape

Shape parameter for inverse gamma prior

prior_scale

Scale parameter for inverse gamma prior

Value

Updated sigma_ab value