beyondWhittle-package |
Bayesian spectral inference for time series |
bayes_factor |
a generic method for bdp_dw_result class |
bayes_factor.bdp_dw_result |
Extracting the Bayes factor of k1=1 from bdp_dw_result class |
bdp_dw_bayes_factor_k1 |
Estimating the Bayes factor of hypothesis "k1 = 1". |
bdp_dw_est_post_stats |
Calculating the estimated posterior mean, median and credible region (tv-PSD) |
bdp_dw_mcmc_params_gen |
Generate a list of values for MCMC algorithm |
bdp_dw_prior_params_gen |
Generate a list of parameter values in prior elicitation |
beyondWhittle |
Bayesian spectral inference for time series |
fourier_freq |
Fourier frequencies |
gibbs_ar |
Gibbs sampler for an autoregressive model with PACF parametrization. |
gibbs_bdp_dw |
BDP-DW method: performing posterior sampling and calculating statistics based on the posterior samples |
gibbs_np |
Gibbs sampler for Bayesian nonparametric inference with Whittle likelihood |
gibbs_npc |
Gibbs sampler for Bayesian semiparametric inference with the corrected AR likelihood |
gibbs_var |
Gibbs sampler for vector autoregressive model. |
gibbs_vnp |
Gibbs sampler for multivaiate Bayesian nonparametric inference with Whittle likelihood |
local_moving_FT_zigzag |
Calculate the moving Fourier transform ordinates |
pacf_to_ar |
Convert partial autocorrelation coefficients to AR coefficients. |
plot.bdp_dw_result |
Plot method for bdp_dw_result class |
plot.bdp_dw_tv_psd |
Plot method for bdp_dw_tv_psd class |
plot.gibbs_psd |
Plot method for gibbs_psd class |
print.bdp_dw_result |
Print method for bdp_dw_result class |
print.gibbs_psd |
Print method for gibbs_psd class |
psd_arma |
ARMA(p,q) spectral density function |
psd_tvarma12 |
time-varying spectral density function of the tvARMA(1,2) processes for illustrations |
psd_varma |
VARMA(p,q) spectral density function |
rmvnorm |
Simulate from a Multivariate Normal Distribution |
scree_type_ar |
Negative log AR likelihood values for scree-type plots |
sim_tvarma12 |
simulate from the tvARMA(1,2) process for illustration |
sim_varma |
Simulate from a VARMA model |
summary.bdp_dw_result |
Summary method for bdp_dw_result class |
summary.gibbs_psd |
Summary method for gibbs_psd class |