pmat747/psplinePsd: Spectral density estimation using P-spline priors

Implementation of a Metropolis-within-Gibbs MCMC algorithm to estimate the spectral density of a stationary time series using P-spline priors. The algorithm makes use of the Whittle likelihood to produce pseudo-posterior samples and is based on the work presented in Maturana-Russel, P. and Meyer, R. arXiv:1905.01832. This package follows the bsplinePsd package structure.

Getting started

Package details

AuthorPatricio Maturana-Russel [aut, cre], Renate Meyer [aut]
MaintainerPatricio Maturana-Russel <[email protected]>
LicenseGPL (>= 3)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
pmat747/psplinePsd documentation built on May 23, 2019, 8:56 a.m.