NormalInverseWishartPrior.tightness

NormalInverseWishartPrior.tightness: float

Overall confidence \(\lambda_1\); the standard deviation of an own first lag.

Scales every prior variance. Values near 0.1 to 0.3 are usual for macroeconomic data; a large value approaches least squares, and the marginal likelihood is the number to choose it by, either by hand or through HierarchicalBVAR. Must be positive.