bsplinePsd: Bayesian Nonparametric Spectral Density Estimation Using B-Spline Priors
Version 0.5.0

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). .

Package details

AuthorMatthew C. Edwards [aut, cre], Renate Meyer [aut], Nelson Christensen [aut]
Date of publication2018-04-06 10:39:42 UTC
MaintainerMatthew C. Edwards <ma[email protected]>
LicenseGPL (>= 3)
Version0.5.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bsplinePsd")

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bsplinePsd documentation built on April 6, 2018, 5:03 p.m.