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Cpp source usage

For Package Developers

This package provides public C++ headers. Some might be implement these useful.

bvharsim.h: Rcpp random generation functions that are widely used in Bayesian statistics.
ols.h: OLS classes
minnesota.h: Minnesota prior classes
mcmcsv.h: Classes for stochastic volatility models. It includes
- Minnesota prior
- SSVS prior
- Horseshoe prior
mcmchs.h: Horseshoe prior classes
mcmcssvs.h: SSVS prior classes
bvharprogress.h: Simple progress bar classes
bvharinterrupt.h: Interruption handler classes

You can use these by writing in your R package DESCRIPTION:

LinkingTo: 
    BH,
    Rcpp,
    RcppEigen,
    bvhar

Also, you can use in your single C++ source:

// [[Rcpp::depends(BH, RcppEigen, bvhar)]]

MCMC headers

mcmc*.h has classes that can conduct MCMC. Since it is designed thread-safe, you can OpenMP for parallel multiple chain loop.

Initialize using smart pointer (in this package: std::unique_ptr)
- Since each class requires other structure as its parameter, you first initialize it.
- Each struct is inside the same header.
doPosteriorDraws() updates MCMC draws, so use this inside loop.
returnRecords(burn, thin) returns Rcpp::List of every MCMC record.

In case of SV model, you can define your own prior by defining a derived class.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.