Learn R Programming

tsbridge (version 1.1)

Calculate normalising constants for Bayesian time series models.

Description

The tsbridge package contains a collection of R functions that can be used to estimate normalising constants using the bridge sampler of Meng and Wong (1996). The functions can be applied to calculate posterior model probabilities for a variety of time series Bayesian models, where parameters are estimated using BUGS, and models themselves are created using the tsbugs package.

Copy Link

Version

Install

install.packages('tsbridge')

Monthly Downloads

3

Version

1.1

License

GPL-2

Maintainer

Guy Abel

Last Published

May 23rd, 2014

Functions in tsbridge (1.1)

y.fit

Fitted Time Series from Simulated Parameters
q1q2l

Calculate Posterior Model Density, q1(.), Normalised Density, q2(.), and their Ratio, l(.)
tsbridge-package

Calculated normalising constants for Bayesian time series models
h.fit

Fitted Volatility Series from Simulated Parameters
dmvnb

Density Function for Multivariate Normal-Binary Distribution for Use With RV-Shift Models
bridge

Bridge Function to Obtain Normalising Constant
tslogl

Log-Likelihood of Time Series Model.
rescale

Rescale Values to and from Whole Real Number Line
dcvts

Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.
theta.it

Convert Parameter Data Frame to List