studentbridge: Compute the so called "Student bridge" process.
In IRSN/codadiags: Markov chain Monte Carlo burn-in based on "bridge" statistics
Description
Usage
Arguments
Value
Examples
Description
Compute the so called "Student bridge" process.
Usage
1
Arguments
X
MCMC sampling sequence of length N
Value
Student bridge sequence:
S=≤ft\{s_n\right\}_{1≤q n≤q N-1},
s_n=√{N-2} {\frac{n*(\hat μ_{1,n}-\hat
μ_{n+1,N})}{√{≤ft ({1 \over n} + {1 \over {N-n}}
\right) * ((n-1)
\hat{σ_{1,n}}^2+(N-n-1)\hat{σ_{n+1,N}}^2} }}
Examples
1
2
3
x = AR1(rho=0)
sb = studentbridge(x)
plot(sb,type='l',col='blue')
IRSN/codadiags documentation built on May 8, 2019, 1:27 p.m.
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Description Usage Arguments Value Examples
Description
Compute the so called "Student bridge" process.
Usage
1 |
Arguments
X |
MCMC sampling sequence of length N |
Value
Student bridge sequence:
S=≤ft\{s_n\right\}_{1≤q n≤q N-1}, s_n=√{N-2} {\frac{n*(\hat μ_{1,n}-\hat μ_{n+1,N})}{√{≤ft ({1 \over n} + {1 \over {N-n}} \right) * ((n-1) \hat{σ_{1,n}}^2+(N-n-1)\hat{σ_{n+1,N}}^2} }}
Examples
1 2 3 | x = AR1(rho=0)
sb = studentbridge(x)
plot(sb,type='l',col='blue')
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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