gibbs_AR_nuisance_intern

<p>Gibbs sampler for Bayesian AR model in PACF parametrization,
including support for TS to be a nuisance parameter</p>

internal

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126>, A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470> and Y. Tang et al (2023) <doi:10.48550/arXiv.2303.11561>. It was supported by DFG grants KI 1443/3-1 and KI 1443/3-2.

Renate Meyer

beyondWhittle

Bayesian Spectral Inference for Time Series

Alexander Meier

Claudia Kirch

Matthew C. Edwards

Yifu Tang

gibbs_AR_nuisance_intern function

Gibbs sampler for Bayesian AR model in PACF parametrization,
including support for TS to be a nuisance parameter — gibbs_AR_nuisance_intern

Gibbs sampler for Bayesian AR model in PACF parametrization,
including support for TS to be a nuisance parameter

gibbs_AR_nuisance_intern: Gibbs sampler for Bayesian AR model in PACF parametrization, including support for TS to be a nuisance parameter

Description

Usage

Arguments