arp.mcmc: Normal AR(p) MCMC
In nickpoison/nltsa: Nonlinear Time Series Analysis

Description Usage Arguments Details Value Author(s)

Performs a simple MCMC procedure for sampling from the posteriors of the parameters of a normal AR(p).

1	arp.mcmc(xdata, porder, n.iter = 1000, n.warmup = 100)

`xdata`	The time series to be analyzed.
`porder`	Order of the AR. Must be less than 10.
`n.iter`	Number of iterations used in the sample.
`n.warmup`	Number of initial samples discarded. Must be at least 100 less than `n.iter`.

See Section 8.4 for details.

A plot and a summary of the resulting samples for each parameter (including the variance) is returned. In addition, the samples are returned invisibly as a vector of time series in parameter order and the variance last.

D.S. Stoffer

nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.