bx_dx

Computes probabilities for deciding whether the AR order should be
 increased or decreased by 1 at each iteration in Bayesian analysis of
 mixture autoregressive models.

internal

Model time series using mixture autoregressive (MAR)
models. Implemented are frequentist (EM) and Bayesian
methods for estimation, prediction and model
evaluation. See Wong and Li (2002)
<doi:10.1111/1467-9868.00222>, Boshnakov (2009)
<doi:10.1016/j.spl.2009.04.009>), and the extensive
references in the documentation.

Georgi Boshnakov

mixAR

Mixture Autoregressive Models

Davide Ravagli

bx_dx function

<dl> <dt>method</dt>
<dd>the method used for updating probabilities. If <code>"Ratio"</code> or
 <code>"Poisson"</code>, probabilities depend on <code>par</code> and decrease
 as <code>pk</code> increases. If <code>"NULL"</code>, probabilities are set to
 0.5. See Examples for details.</dd> <dt>par</dt>
<dd>tuning parameter for calculating updating probabilities.</dd> <dt>pk</dt>
<dd>autoregressive order of the selected component.</dd></dl>

Arguments

Author

RJMCMC move for AR order selection of mixture autoregressive models — bx_dx

<dl>

 <dt>method</dt>
<dd>the method used for updating probabilities. If <code>"Ratio"</code> or
 <code>"Poisson"</code>, probabilities depend on <code>par</code> and decrease
 as <code>pk</code> increases. If <code>"NULL"</code>, probabilities are set to
 0.5. See Examples for details.</dd>

 <dt>par</dt>
<dd>tuning parameter for calculating updating probabilities.</dd>

 <dt>pk</dt>
<dd>autoregressive order of the selected component.</dd>

</dl>

bx_dx: RJMCMC move for AR order selection of mixture autoregressive models

Description

Usage

Value

Arguments

Author

References