spectrum0ar: Estimate spectral density at zero

In BART: Bayesian Additive Regression Trees

Estimate spectral density at zero

Description

The spectral density at frequency zero is estimated by fitting an autoregressive model. spectrum0(x)/length(x) estimates the variance of mean(x).

Usage

spectrum0ar(x)

Arguments

x	Matrix of MCMC chains: the rows are the samples and the columns are different "parameters". For BART, generally, the columns are estimates of f. For pbart, they are different subjects. For surv.bart, they are different subjects at a grid of times.

Details

The ar() function to fit an autoregressive model to the time series x. For multivariate time series, separate models are fitted for each column. The value of the spectral density at zero is then given by a well-known formula. Adapted from the spectrum0.ar function of the coda package which passes mcmc objects as arguments rather than matrices.

Value

A list with the following values

spec	The predicted value of the spectral density at frequency zero.
order	The order of the fitted model

References

Martyn Plummer, Nicky Best, Kate Cowles and Karen Vines (2006). CODA: Convergence Diagnosis and Output Analysis for MCMC, R News, vol 6, 7-11.

BW Silverman (1986). Density estimation for statistics and data analysis. Chapman and Hall, London.

See Also

gewekediag

BART documentation built on June 22, 2024, 11:33 a.m.