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 <firstname.lastname@example.org>|
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