nll_t

<p>negative log likelihood of iid t observations with given excess kurtosis [unit variance]</p>

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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

nll_t function

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

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

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

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