scree_type_ar: Negative log AR likelihood values for scree-type plots

In beyondWhittle: Bayesian Spectral Inference for Time Series

Negative log AR likelihood values for scree-type plots

Description

(Approximate) negative maximum log-likelihood for for different autoregressive orders to produce scree-type plots.

Usage

scree_type_ar(data, order.max, method = "yw")

Arguments

data	numeric vector of data
order.max	maximum autoregressive order to consider
method	character string giving the method used to fit the model, to be forwarded to stats::ar

Details

By default, the maximum likelihood is approximated by the Yule-Walker method, due to numerical stabililty and computational speed. Further details can be found in the simulation study section in the referenced paper.

Value

a data frame containing the autoregressive orders p and the corresponding negative log likelihood values nll

References

C. Kirch et al. (2018) Beyond Whittle: Nonparametric Correction of a Parametric Likelihood With a Focus on Bayesian Time Series Analysis Bayesian Analysis <doi:10.1214/18-BA1126>

Examples

## Not run: 

###
### Interactive visual inspection for the sunspot data
###

data <- sqrt(as.numeric(sunspot.year))
data <- data <- data - mean(data)

screeType <- scree_type_ar(data, order.max=15)

# Determine the autoregressive order by an interactive visual inspection of the scree-type plot
plot(x=screeType$p, y=screeType$nll, type="b")
p_ind <- identify(x=screeType$p, y=screeType$nll, n=1, labels=screeType$p)
print(screeType$p[p_ind])

## End(Not run)

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