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beyondWhittle (version 0.18.1)

Bayesian Spectral Inference for Stationary Time Series

Description

Implementations of a Bayesian parametric (autoregressive), a Bayesian nonparametric (Whittle likelihood with Bernstein-Dirichlet prior) and a Bayesian semiparametric (autoregressive likelihood with Bernstein-Dirichlet correction) procedure are provided. The work is based on the corrected parametric likelihood by C. Kirch et al (2017) . It was supported by DFG grant KI 1443/3-1.

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Version

Install

install.packages('beyondWhittle')

Monthly Downloads

502

Version

0.18.1

License

GPL (>= 3)

Maintainer

Alexander Meier

Last Published

April 7th, 2017

Functions in beyondWhittle (0.18.1)

generalizedGaussian.alpha

Help function for Generalized Gaussian

l_generalizedGaussian

Help function for Generalized Gaussian

Help function: Fuller Logarithm

Conditional Gaussian likelihood (good enough for sampling steps)

Gibbs sampler for an autoregressive model with PACF parametrization.

C++ function for generating p from v in Stick Breaking DP representation

C++ function for computing AR coefficients, given PACF.

Negative log likelihood of iid standard normal observations [unit variance]

nll_norm_unnormalized

unnormalized negative log likelihood of iid standard normal observations [unit variance]

generalizedGaussian.kurtosis

Help function for Generalized Gaussian

gibbs_toggle_ar

Gibbs sampler for corrected parametric likelihood + Bernstein-Dirichlet mixture

Gibbs sampler of AR model with PACF parametrization

C++ function for computing mixture weights of Bernstein-Mixtures given the probabilities p, values w, and degree k.

Gibbs sampler for Bayesian semiparametric inference with the corrected AR likelihood

Gibbs sampler for Bayesian nonparametric inference with Whittle likelihood

Help function for visualizing

plotPsdEstimate

Help function for visualizing

Log corrected posterior

Log prior of Bernstein-Dirichlet mixture and parametric working model -- all unnormalized

Log-Prior of PACF parametrization

Help function: Rosenthal Logarithm

Log corrected parametric likelihood

Compute the ARMA(p,q) spectral density

nll_generalizedGaussian

Help function for Generalized Gaussian

reduceMemoryStorageMCMC

Help function for I/O

Fourier frequencies, rescaled on the unit interval

negative log likelihood of iid t observations with given excess kurtosis [unit variance]

C++ help function to redundantly roll out a PSD to length n

Help function: Standard error for kurtosis

C++ function for computing ACV function, given PACF and variance.

Convert partial autocorrelation coefficients to AR coefficients.

Help function: Uniform maximu

Function that calculates correction matrix C_n ^ (-1/2) for ARMA model

Deprecated, not in use.

C++ function for building a density mixture, given mixture weights and functions.

C++ function for generating epsilon process for MA(q)

Density of t-distribution in terms of excess kurtosis

beyondWhittle-package

Bayesian spectral inference for stationary time series

C++ function for computing acceptance rate based on trace Note: Only use for traces from continous distributions!

C++ function to build a Toeplitz ACV matric, given an ACV vector.

Compute F_n X_n with the real-valued Fourier matrix F_n

Full likelihood of an autoregressive time series model with i.i.d. normal innovations

Help function for I/O

Help function to compute the mean.

Negative log likelihood values for scree-type plots

Compute F_n^t X_n with the real-valued Fourier matrix F_n

arma_conditional

Function for computing the ARMA(p, q) conditional likelihood Models with AR component: zt are from t = p + 1 to m Models with MA component: eps_0 = ... = eps_q+1 = 0 The input zt should be FCFZ, i.e., data corrected in freq. domain then IFTd FCFZ should be FCFZ[-c(1, n)]; i.e., have removed elements 1 and n beforehand No sigma2 in here anymore! ...: Further arguments to be passed to likelihood function

Full Gaussian likelihood (includes marginals; only needed for model comparison)

C++ function for generating epsilon process for AR(p)

C++ function for generating epsilon process for ARMA(p,q)