Bayesian Spectral Inference for Time Series

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Documentation for package ‘beyondWhittle’ version 1.2.0

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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