dcvts

dsvts

drvts


A BUGS model created in the tsbugs package.



A <code>data.frame</code> of simulated parameter values with column names labelled according to output from the R2OpenBUGS package.


sims


A <code>data.frame</code> of mean values for response y, the fitted mean process. Columns represent time and rows represent simulations.


ymean


A <code>data.frame</code> of mean values for h, the fitted volatility process. Columns represent time and rows represent simulations. This argument is not used for <code>dcvts</code>.


hmean


Prints the contributions of each iteration (simulation) number to the density calculation. By default is set to <code>NULL</code>, hence no values are printed.


iter


This function is intended for internal use only. It calculates the posterior density of a constant variance, stochastic volatility or random variance shift time series model given a set of sample of parameter values.


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.

dcvts: Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.

Description

Usage

Arguments

See Also