bdp_dw_bayes_factor_k1: Estimating the Bayes factor of hypothesis "k1 = 1".

In beyondWhittle: Bayesian Spectral Inference for Time Series

Estimating the Bayes factor of hypothesis "k1 = 1".

Description

Estimating the Bayes factor of hypothesis "k1 = 1".

Usage

bdp_dw_bayes_factor_k1(post_sample, precision = 1000)

Arguments

post_sample	the posterior sample generated by bdp_dw_mcmc.
precision	a positive integer specifying the number of terms used in approximating the normalizing constant of the prior probability mass function of k1. Default 1000.

Value

The Savage-Dickey estimate of the Bayes factor and its theoretical upper bound. c.f. section 3.3 of Tang et al. (2023).

References

Tang et al. (2023) Bayesian nonparametric spectral analysis of locally stationary processes ArXiv preprint <arXiv:2303.11561>

beyondWhittle documentation built on June 22, 2024, 11:35 a.m.