Obtain samples of the posterior of the Whittle likelihood in conjunction with a Bernstein-Dirichlet prior on the spectral density.
bdp_dw_mcmc(
data,
m,
likelihood_thinning = 1,
mcmc_params,
prior_params,
monitor = FALSE,
print_interval = 100
)list containing the following fields:
posterior traces of PSD parameters
total run time
the specifications of the prior
numeric vector.
window size needed to calculate moving periodogram.
the thinning factor of the dynamic Whittle likelihood.
a list generated by bdp_dw_mcmc_params_gen.
a list generated by bdp_dw_prior_params_gen.
a Boolean value (default FALSE) indicating whether to display the real-time status
If monitor = TRUE, then this value indicates the number of iterations after which a status is printed to console; If monitor = FALSE, it does not have any effect
Further detail can be found in the simulation study section in the references papers.
Y. Tang et al. (2023) Bayesian nonparametric spectral analysis of locally stationary processes ArXiv preprint <arXiv:2303.11561>