beyondWhittle1.3.0 package

Bayesian Spectral Inference for Time Series

acceptanceRate

Computing acceptance rate based on trace Note: Only use for traces fro...

acvBlockMatrix

Build an nd times nd Block Toeplitz matrix from the (d times d) autoco...

acvMatrix

Build an n times n Toeplitz matrix from the autocovariance values gamm...

Adj

adjoint of complex matrix

arma_conditional

Negative ARMA(p, q) log likelihood

bayes_factor.bdp_dw_result

Extracting the Bayes factor of k1=1 from bdp_dw_result class

bayes_factor

a generic method for bdp_dw_result class

bdp_dw_bayes_factor_k1

Estimating the Bayes factor of hypothesis "k1 = 1".

bdp_dw_est_post_stats

Calculating the estimated posterior mean, median and credible region (...

bdp_dw_mcmc_params_gen

Generate a list of values for MCMC algorithm

bdp_dw_mcmc

MH sampler for BDP-DW method

bdp_dw_prior_params_gen

Generate a list of parameter values in prior elicitation

betaBasis_k_dw

Construct Bernstein polynomial basis of degree k on omega

betaBasis_k

Construct Bernstein polynomial basis of degree k on omega

beyondWhittle-package

Bayesian spectral inference for time series

center

mean center a numerical vector

coarsened_bernstein_i

Helping function for coarsened_bernstein

coarsened_bernstein

Construct coarsened Bernstein polynomial basis of degree l on omega

complexValuedPsd

Inverse function to realValuedPsd

cube_from_NumericVector

I/O: Only used within Rcpp Note: Same workaround as `cx_cube_from_Comp...

cx_cube_from_ComplexVector

I/O: Only used within Rcpp

dbList_dw_Bern_for_lambda

Construct Bernstein polynomial bases of degree up to kmax on omega for...

dbList_dw_Bern

Construct Bernstein polynomial bases of degree up to kmax on omega

dbList

Construct Bernstein polynomial basises of degree up to kmax on omega

densityMixture

Construct a density mixture from mixture weights and density functions...

epsilon_var

epsilon process (residuals) of VAR model

fast_ft

Fast Fourier Transform

fast_ift

Fast Inverse Fourier Transform

fast_mean

Help function to compute the mean.

fourier_freq

Fourier frequencies

genEpsARMAC

Get epsilon process (i.e. model residuals) for ARMA(p,q)

get_f_matrix

Construct psd mixture

get_U_cpp

Get U from phi, vectorized, cpp internal only

gibbs_AR_nuisance_intern

Gibbs sampler for Bayesian AR model in PACF parametrization, including...

gibbs_ar

Gibbs sampler for an autoregressive model with PACF parametrization.

gibbs_bdp_dw

BDP-DW method: performing posterior sampling and calculating statistic...

gibbs_multivariate_nuisance_cpp

Gibbs sampler in Cpp

gibbs_multivariate_nuisance

Gibbs sampler for corrected parametric likelihood + Bernstein-Dirichle...

gibbs_np

Gibbs sampler for Bayesian nonparametric inference with Whittle likeli...

gibbs_npc

Gibbs sampler for Bayesian semiparametric inference with the corrected...

gibbs_nuisance

Gibbs sampler for corrected parametric likelihood + Bernstein-Dirichle...

gibbs_VAR_nuisance_intern

Gibbs sampling algorithm for VAR model

gibbs_var

Gibbs sampler for vector autoregressive model.

gibbs_vnp

Gibbs sampler for multivaiate Bayesian nonparametric inference with Wh...

hasEigenValueSmallerZero

Does a matrix have an eigenvalue smaller than 0?

is_hpd

Check if a matrix is Hermitian positive definite

is_quadratic

Is l quadratic?

is_spd

Check if a matrix is symmetric positive definite

lik_ar

Likelihood of an autoregressive time series model with i.i.d. normal i...

llike_AR

Time domain AR(p) likelihood for nuisance/noise time series

llike_dw

Calculating log likelihood

llike_var_full

VAR(p) full likelihood

llike_var_partial

VAR(p) partial likelihood (unnormalized) Note: Fine for fixed p, but n...

llike_var

VAR(p) likelihood

llike

Log corrected parametric AR likelihood (Gaussian)

local_moving_FT_zigzag

Calculate the moving Fourier transform ordinates

logDet_stickBreaking

Log determinant of stick breaking transformation V -> p

logfuller

Fuller Logarithm

lpost_AR

Log Posterior = Log Prior + (conditional) Log Likelihood

lpost

Log posterior = log prior + log corrected parametric likelihood

lprior_AR

Log prior for PACF (~Beta) and sigma2 (~InverseGamma), unnormalized

lprior_dw

Calculation of log prior

lprior

Log prior of Bernstein-Dirichlet mixture and parametric working model ...

mdft

Multivariate discrete (fast) Fourier Transform

midft

Multivariate inverse discrete (fast) Fourier Transform

missingValues_str_help

Get string representation for missing values position from vector inde...

mixtureWeight

Get mixture weights of Bernstein-Dirchlet-Mixtures

mpdgrm

Compute Periodgram matrix from (complex-valued) Fourier coefficients

my_rdirichlet

Generate a random samples from a Dirichlet distribution

nll_norm

Negative log likelihood of iid standard normal observations [unit vari...

omegaFreq

Fourier frequencies rescaled on the unit interval

pacf_to_ar

Convert partial autocorrelation coefficients to AR coefficients.

pacf2AR

C++ function for computing AR coefficients from PACF. See Section III ...

pFromV

Get p from v in Stick Breaking DP representation

phiFromBeta_normalInverseWishart

Convert vector parametrization (beta) to matrix-parametrization (phi),...

plot.bdp_dw_result

Plot method for bdp_dw_result class

plot.bdp_dw_tv_psd

Plot method for bdp_dw_tv_psd class

plot.gibbs_psd

Plot method for gibbs_psd class

plotMPsd

Visualization of multivariate PSDs Used in plot.gibbs_psd

print_mcmc_state

Help function to print MCMC state

print_summary_gibbs_psd_help

Helping function for print and summary (both are quite similar)

print_warn

Help function to print debugging messages

print.bdp_dw_result

Print method for bdp_dw_result class

print.gibbs_psd

Print method for gibbs_psd class

psd_arma

ARMA(p,q) spectral density function

psd_array

Convert psd vector to array (compatibility: to use plotMPsd for univar...

psd_dummy_model

Time series model X_t=e_t, E[e_t]=0

psd_tvarma12

time-varying spectral density function of the tvARMA(1,2) processes fo...

psd_varma_help

helping function for psd_varma

psd_varma

VARMA(p,q) spectral density function

PSIwgt

Psi-weight calculation for a VARMA model. NOTE: This is an exact copy ...

qpsd_dw

Evaluation of normalized time-varying spectral density function (based...

qpsd_dw.tilde_zigzag_cpp_expedited

Evaluation of normalized time-varying spectral density function (for M...

qpsd

Compute normalized PSD in the Bernstein-Dirichlet parametrization.

realValuedPsd

Store imaginary parts above and real parts below the diagonal

rmvnorm

Simulate from a Multivariate Normal Distribution

scree_type_ar

Negative log AR likelihood values for scree-type plots

sim_tvarma12

simulate from the tvARMA(1,2) process for illustration

sim_varma

Simulate from a VARMA model

sldmvnorm

sum of multivariate normal log densities with mean 0 and covariance Si...

summary.bdp_dw_result

Summary method for bdp_dw_result class

summary.gibbs_psd

Summary method for gibbs_psd class

transfer_polynomial

VARMA transfer polynomials

uci_help

Helping function for uci_matrix

uci_matrix

Uniform credible intervals in matrix-valued case

uniformmax_help

Helping function for uci_matrix

uniformmax_multi

Helping function for uci_matrix

uniformmax

Uniform maximum, as needed for uniform credible intervals

unit_trace_I_l

Range intervals I_l, see (63) in Mittelbach et al.

unit_trace_L_from_x

Get L (lower triangular Cholesky) from x Called U^* in Mittelbach et a...

unit_trace_log_c

Get log(c) vector, see (70) in Mittelbach et al. Helping function for ...

unit_trace_log_d

Get log(d) vector, see (39) in Mittelbach et al, adjusted to complex c...

unit_trace_log_f_l

Get log(f_l), see (66) in Mittelbach et al. Helping function for `unit...

unit_trace_mu

Get mu vector, see (36) in Mittelbach et al. Helping function for `uni...

unit_trace_nu

Get log(nu) vector, see (38) in Mittelbach et al. Helping function for...

unit_trace_p

Get p vector, see (67) in Mittelbach et al.

unit_trace_q

Get q vector, see (68) in Mittelbach et al.

unit_trace_runif_single

Obtain one uniform draw from d times d Hpd matrices with unit trace Se...

unit_trace_runif

Draw uniformly from Hpd matrices with unit trace

unit_trace_sigma2

Get sigma2 vector, see (70) in Mittelbach et al. Helping function for ...

unit_trace_U_from_phi

Get U (Hpd with unit trace) matrix from phi (hyperspherical coordinate...

unit_trace_x_from_phi

Get x from phi, see (62) in Mittelbach et al.

unrollPsd

Redundantly roll out a PSD from length N=floor(n/2) to length n

VAR_regressor_matrix

VAR regressor matrix, see Section 2.2.3 in Koop and Korobilis (2010)

varma_transfer2psd

Get VARMA PSD from transfer polynomials Helping function for `psd_varm...

VARMAcov_muted

This is a nearly exact copy of the MTS::VARMAcov function, where the o...

vFromP

Get v from p (DP inverse stick breaking) Note: p is assumed to have le...

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126>, A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470> and Y. Tang et al (2023) <doi:10.48550/arXiv.2303.11561>. It was supported by DFG grants KI 1443/3-1 and KI 1443/3-2.

  • Maintainer: Renate Meyer
  • License: GPL (>= 3)
  • Last published: 2024-11-25