MinnesotaPrior.tightness

MinnesotaPrior.tightness: float

Overall confidence \(\lambda_1\); scales every prior variance.

The standard deviation of a variable’s own first-lag coefficient, and the hyperparameter to tune. Values near 0.1 to 0.3 are usual for macroeconomic data; a large value makes every variance large and the estimate approaches least squares. Must be positive.