tsbridge: Calculate normalising constants for Bayesian time series models.

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The tsbridge package contains a collection of R functions that can be used to estimate normalising constants using the bridge sampler of Meng and Wong (1996). The functions can be applied to calculate posterior model probabilities for a variety of time series Bayesian models, where parameters are estimated using BUGS, and models themselves are created using the tsbugs package.

Author
Guy J. Abel and Jackie S. T. Wong
Date of publication
2014-05-23 10:27:25
Maintainer
Guy J. Abel <g.j.abel@gmail.com>
License
GPL-2
Version
1.1
URLs

View on CRAN

Man pages

bridge
Bridge Function to Obtain Normalising Constant
dcvts
Posterior Density of Constant Variance, Stochastic Volatility...
dmvnb
Density Function for Multivariate Normal-Binary Distribution...
h.fit
Fitted Volatility Series from Simulated Parameters
q1q2l
Calculate Posterior Model Density, q1(.), Normalised Density,...
rescale
Rescale Values to and from Whole Real Number Line
theta.it
Convert Parameter Data Frame to List
tsbridge-package
Calculated normalising constants for Bayesian time series...
tslogl
Log-Likelihood of Time Series Model.
y.fit
Fitted Time Series from Simulated Parameters

Files in this package

tsbridge
tsbridge/NAMESPACE
tsbridge/demo
tsbridge/demo/cv_bma.R
tsbridge/demo/00Index
tsbridge/R
tsbridge/R/y.fit.R
tsbridge/R/dmvnb.R
tsbridge/R/tslogl.R
tsbridge/R/h.fit.R
tsbridge/R/tsbridge-internal.R
tsbridge/R/drvts.R
tsbridge/R/rescale.R
tsbridge/R/q1q2l.R
tsbridge/R/dsvts.R
tsbridge/R/theta.it.R
tsbridge/R/bridge.R
tsbridge/R/dcvts.R
tsbridge/MD5
tsbridge/DESCRIPTION
tsbridge/man
tsbridge/man/h.fit.Rd
tsbridge/man/dmvnb.Rd
tsbridge/man/q1q2l.Rd
tsbridge/man/tslogl.Rd
tsbridge/man/rescale.Rd
tsbridge/man/bridge.Rd
tsbridge/man/y.fit.Rd
tsbridge/man/theta.it.Rd
tsbridge/man/tsbridge-package.Rd
tsbridge/man/dcvts.Rd