GibbsBVAR.prior_replications#
- GibbsBVAR.prior_replications(n_replications=200, *, seed=None)[source]#
Data sets the independent Normal-Wishart prior generates.
Each replication draws
Sigmafrom its inverse-Wishart prior and every coefficient from its own Gaussian, independently ofSigma, then simulates the sample from the observed presample.- Parameters:
- Return type:
- Returns:
An array of shape
(n_replications, nobs, k)aligned withobserved.- Raises:
SpecificationError – If the count is not positive, or the prior is adaptive or states dummy observations. An adaptive prior’s coefficient variances are latent states with no marginal prior to draw from in closed form; dummy rows under an independent prior couple the coefficients to the covariance through pseudo-data, so the effective prior has no direct sampler. The conjugate BVAR folds dummy rows into its prior exactly and replicates them.