MinnesotaPrior.persistence

MinnesotaPrior.persistence: float | Sequence[float]

a scalar, or one value per variable.

One is the random-walk prior for series in levels; zero suits differenced or otherwise stationary data; a value between is a stated belief about mean reversion. A sequence gives each variable its own centre and must have one entry per variable. Everything else in the coefficient matrix is centred at zero regardless.

Type:

Prior mean of each variable’s own first lag