| inferH {HKprocess} | R Documentation |
Posterior distribution of the H parameter of the HKp using an Accept-Reject algorithm.
Description
The function inferH is used to create a sample from the posterior distribution of H. The function uses the eq.10 (Tyralis and Koutsoyiannis 2014) to make inference on H and an Accept-Reject algorithm (see Robert and Casella 2004, Algorithm A.4).
Usage
inferH(data, n, add = 0.001, minu = 0.001, maxu = 0.999)
Arguments
data |
time series data |
n |
The size of the simulated sample |
add |
A number added to the maximum value of the natural logarithm of eq.10, to avoid bugs of the Accept-Reject algorithm due to computation errors |
minu |
A lower bound to the parameter H |
maxu |
An upper bound to the parameter H |
Value
Vector with the simulated sample.
Author(s)
Hristos Tyralis
References
Robert CP, Casella G (2004) Monte Carlo Statistical Methods. New York: Springer. doi:10.1007/978-1-4757-4145-2.
Tyralis H, Koutsoyiannis D (2014) A Bayesian statistical model for deriving the predictive distribution of hydroclimatic variables. Climate Dynamics 42(11-12):2867–2883. doi:10.1007/s00382-013-1804-y.
Examples
# Posterior distribution of the H parameter of the HKp for the Nile time series.
set.seed(12345)
samp.sim <- inferH(Nile,500)
hist(samp.sim, breaks = 20, main = "Histogram of H", xlab = "H")