psd_arma

<p>Analytical spectral density for mean-centred ARMA(p,q) model</p>

internal

Implementation of a Metropolis-within-Gibbs MCMC algorithm to flexibly estimate the spectral density of a stationary time series.  The algorithm updates a nonparametric B-spline prior using the Whittle likelihood to produce pseudo-posterior samples and is based on the work presented in Edwards, M.C., Meyer, R. and Christensen, N., Statistics and Computing (2018). <doi.org/10.1007/s11222-017-9796-9>.

Matthew C. Edwards

psd_arma: Analytical spectral density for mean-centred ARMA(p,q) model

Description

Usage

Arguments