悬赏 10 个论坛币 未解决
初学winbugs软件,根据别人的程序修改得到了一个混合分布GARCH(1,1)程序,但是在运行到“Load initials”这一步时,总是显示“this chain contains uninitialized variables”,请高手指点迷津,另审查程序是否正确及改进建议。谢谢!程序如下:
model
{
for(t in 1:T)
{
y[t]~dnorm(mu,tau[t])
r[t]~dbern(q)
s[t]<-r[t]+1
tau[t]<-1/(h[t]*c[s[t]])
}
for(t in 2:T)
{
h[t]<-w+alpha[1]*pow(y[t-1]-mu,2)+beta[1]*h[t-1]
}
c[1]<-pow(sigma,2)
c[2]<-pow(sigma,2)/d
sigma<-1/sqrt(q+(1-q)/d)
h1~dgamma(2,1000)
h[1]<-h1
mu~dnorm(0,0.0001)
q~dunif(0,1)
d~dnorm(0,0.0001)I(0,1)
w~dnorm(0,0.0001)I(0,)
alpha[1]~dnorm(0,0.0001)I(0,1)
beta[1]~dnorm(0,0.0001)I(0,1)
}
list(y=c(-8.76,-35.27,-41.52,10.83,22.37,-8.00,11.34,20.42,-23.44,
-9.92,15.79,-13.96,-36.52,4.71,-23.26,-24.59,-2.17,-36.65,-40.37,
24.96,11.22,-1.97,-45.92,0.95,-6.29,-55.69,48.26,-2.08,-70.60,
5.61,28.96,43.54,3.58,-56.55,16.80,6.07,-57.82,15.55,-17.09,
-21.14,-40.55,7.18,9.84,40.63,88.87,-7.08,-23.61,13.92),
T=48)
list(mu=-3,w=3,alpha=c(0.1),beta=c(0.1),d=0.5,q=0.5,h1=2)