Implementation of a Metropolis-within-Gibbs MCMC algorithm to flexibly estimate the spectral density of a stationary time series. The algorithm updates a nonparametric B-spline prior using the Whittle likelihood to produce pseudo-posterior samples and is based on the work presented in Edwards, M.C., Meyer, R. and Christensen, N., Statistics and Computing (2018).
|Author||Matthew C. Edwards [aut, cre], Renate Meyer [aut], Nelson Christensen [aut]|
|Date of publication||2018-04-06 10:39:42 UTC|
|Maintainer||Matthew C. Edwards <[email protected]>|
|License||GPL (>= 3)|
|Package repository||View on CRAN|
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