loglikbridge: Compute the so called "Log-likelihood bridge" process.
In codadiags: Markov chain Monte Carlo burn-in based on "bridge" statistics

Compute the so called "Log-likelihood bridge" process.

1	loglikbridge(X)

`X`	MCMC sampling sequence of length N

log-likelihood sequence

LL=≤ft\{ll_n\right\}_{2≤q n≤q N-2}, ll_n=N*ln(\hat σ_{1,N}^2)-n*ln(\hat σ_{1,n}^2)-(N-n)ln(\hat σ_{n+1,N}^2)

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x = AR1(rho=0)
llb = loglikbridge(x)
plot(llb,type='l',col='red')

codadiags documentation built on May 1, 2019, 9:26 p.m.

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