Bayesian Spectral Inference for Stationary Time Series


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Documentation for package ‘beyondWhittle’ version 1.1.1

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beyondWhittle-package Bayesian spectral inference for stationary time series
beyondWhittle Bayesian spectral inference for stationary time series
fourier_freq Fourier frequencies
gibbs_ar Gibbs sampler for an autoregressive model with PACF parametrization.
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
pacf_to_ar Convert partial autocorrelation coefficients to AR coefficients.
plot.gibbs_psd Plot method for gibbs_psd class
print.gibbs_psd Print method for gibbs_psd class
psd_arma ARMA(p,q) spectral density function
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_varma Simulate from a VARMA model
summary.gibbs_psd Summary method for gibbs_psd class