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.
Package details |
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Author | Patricio Maturana-Russel [aut, cre], Renate Meyer [aut] |
Maintainer | Patricio Maturana-Russel <p.russel@auckland.ac.nz> |
License | GPL (>= 3) |
Version | 0.1.0 |
Package repository | View on GitHub |
Installation |
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