genEpsARC

<p>C++ function for generating epsilon process for AR(p)</p>

internal

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

Bayesian Spectral Inference for Stationary Time Series

Claudia Kirch

Matthew C. Edwards

Renate Meyer

genEpsARC function

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

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

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

Description

Usage

Arguments