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.
|Author||Patricio Maturana-Russel [aut, cre], Renate Meyer [aut]|
|Maintainer||Patricio Maturana-Russel <[email protected]>|
|License||GPL (>= 3)|
|Package repository||View on GitHub|
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