loglikbridge {codadiags}

R Documentation

Compute the so called "Log-likelihood bridge" process.

Description

Compute the so called "Log-likelihood bridge" process.

Usage

  loglikbridge(X)

Arguments

X	MCMC sampling sequence of length N

Value

log-likelihood sequence

LL=≤ft\{ll_n\right\}_{2≤q n≤q N-2}, ll_n=N*ln(\hat σ_{1,N}^2)-n*ln(\hat σ_{1,n}^2)-(N-n)ln(\hat σ_{n+1,N}^2)

Examples

x = AR1(rho=0)
llb = loglikbridge(x)
plot(llb,type='l',col='red')

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