ar_lik

mean

<p>logical; if TRUE, probabilities p are given as log(p)</p>

<p>Full likelihood of an autoregressive time series model with i.i.d. normal innovations</p>

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) <arXiv:1701.04846>. It was supported by DFG grant KI 1443/3-1.

Alexander Meier

beyondWhittle

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

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