Description Usage Arguments Value Examples
Compute the so called "Log-likelihood bridge" process.
1 | loglikbridge(X)
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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)
1 2 3 | x = AR1(rho=0)
llb = loglikbridge(x)
plot(llb,type='l',col='red')
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