MinnesotaPrior.exogenous

MinnesotaPrior.exogenous: float

Looseness of the deterministic and exogenous block \(\lambda_4\).

The intercept, any trend, and any exogenous regressor get standard deviation \(\lambda_1 \lambda_4 s_i\), so the default makes them four orders of magnitude looser than an own lag, that is, effectively unshrunk. Those coefficients carry levels and slopes, and shrinking them toward zero is rarely what anyone means. Must be positive.