tsbridge (version 1.1)

tsbridge-package: Calculated 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.

Details

Package:

tsbridge

Type:

Package

Version:

1.0

Date:

2013-10-07

License:

GPL-2

References

Abel, G.J., Bijak, J., Forster, J.J., Raymer J., Smith P.W.F. and Wong, J.S.T. (2013) Integrating uncertainty in time series population forecasts: An illustration using a simple projection model. Demographic Research. 29 43 1187-1226 doi:10.4054/DemRes.2013.29.43

Meng, X.-L., & Wong, W. H. (1996). Simulating Ratios of Normalizing Constants via a Simple Identity: A Theoretical Exploration. Statistica Sinica, 6, 831-860.

Blog posts with some additional details of the implementation of functions in the package can be found at: http://gjabel.wordpress.com/category/r/tsbridge/

Examples

## Not run: 
# # demo example with constant variance models for differenced growth rate
# # of England and Wales population as used in Abel et. al. (2013)
# demo("cv_bma", "tsbridge")
# ## End(Not run)