lprior_AR

<p>Log prior for PACF (beta) and sigma2 (Inverse Gamma), unnormalized</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

lprior_AR function

Log prior for PACF (beta) and sigma2 (Inverse Gamma), unnormalized — lprior_AR

Log prior for PACF (beta) and sigma2 (Inverse Gamma), unnormalized

lprior_AR: Log prior for PACF (beta) and sigma2 (Inverse Gamma), unnormalized

Description

Usage

Arguments