Bayesian Spectral Inference for Time Series
Computing acceptance rate based on trace Note: Only use for traces fro...
Build an nd times nd Block Toeplitz matrix from the (d times d) autoco...
Build an n times n Toeplitz matrix from the autocovariance values gamm...
adjoint of complex matrix
Negative ARMA(p, q) log likelihood
Extracting the Bayes factor of k1=1 from bdp_dw_result class
a generic method for bdp_dw_result class
Estimating the Bayes factor of hypothesis "k1 = 1".
Calculating the estimated posterior mean, median and credible region (...
Generate a list of values for MCMC algorithm
MH sampler for BDP-DW method
Generate a list of parameter values in prior elicitation
Construct Bernstein polynomial basis of degree k on omega
Construct Bernstein polynomial basis of degree k on omega
Bayesian spectral inference for time series
mean center a numerical vector
Helping function for coarsened_bernstein
Construct coarsened Bernstein polynomial basis of degree l on omega
Inverse function to realValuedPsd
I/O: Only used within Rcpp Note: Same workaround as `cx_cube_from_Comp...
I/O: Only used within Rcpp
Construct Bernstein polynomial bases of degree up to kmax on omega for...
Construct Bernstein polynomial bases of degree up to kmax on omega
Construct Bernstein polynomial basises of degree up to kmax on omega
Construct a density mixture from mixture weights and density functions...
epsilon process (residuals) of VAR model
Fast Fourier Transform
Fast Inverse Fourier Transform
Help function to compute the mean.
Fourier frequencies
Get epsilon process (i.e. model residuals) for ARMA(p,q)
Construct psd mixture
Get U from phi, vectorized, cpp internal only
Gibbs sampler for Bayesian AR model in PACF parametrization, including...
Gibbs sampler for an autoregressive model with PACF parametrization.
BDP-DW method: performing posterior sampling and calculating statistic...
Gibbs sampler in Cpp
Gibbs sampler for corrected parametric likelihood + Bernstein-Dirichle...
Gibbs sampler for Bayesian nonparametric inference with Whittle likeli...
Gibbs sampler for Bayesian semiparametric inference with the corrected...
Gibbs sampler for corrected parametric likelihood + Bernstein-Dirichle...
Gibbs sampling algorithm for VAR model
Gibbs sampler for vector autoregressive model.
Gibbs sampler for multivaiate Bayesian nonparametric inference with Wh...
Does a matrix have an eigenvalue smaller than 0?
Check if a matrix is Hermitian positive definite
Is l quadratic?
Check if a matrix is symmetric positive definite
Likelihood of an autoregressive time series model with i.i.d. normal i...
Time domain AR(p) likelihood for nuisance/noise time series
Calculating log likelihood
VAR(p) full likelihood
VAR(p) partial likelihood (unnormalized) Note: Fine for fixed p, but n...
VAR(p) likelihood
Log corrected parametric AR likelihood (Gaussian)
Calculate the moving Fourier transform ordinates
Log determinant of stick breaking transformation V -> p
Fuller Logarithm
Log Posterior = Log Prior + (conditional) Log Likelihood
Log posterior = log prior + log corrected parametric likelihood
Log prior for PACF (~Beta) and sigma2 (~InverseGamma), unnormalized
Calculation of log prior
Log prior of Bernstein-Dirichlet mixture and parametric working model ...
Multivariate discrete (fast) Fourier Transform
Multivariate inverse discrete (fast) Fourier Transform
Get string representation for missing values position from vector inde...
Get mixture weights of Bernstein-Dirchlet-Mixtures
Compute Periodgram matrix from (complex-valued) Fourier coefficients
Generate a random samples from a Dirichlet distribution
Negative log likelihood of iid standard normal observations [unit vari...
Fourier frequencies rescaled on the unit interval
Convert partial autocorrelation coefficients to AR coefficients.
C++ function for computing AR coefficients from PACF. See Section III ...
Get p from v in Stick Breaking DP representation
Convert vector parametrization (beta) to matrix-parametrization (phi),...
Plot method for bdp_dw_result class
Plot method for bdp_dw_tv_psd class
Plot method for gibbs_psd class
Visualization of multivariate PSDs Used in plot.gibbs_psd
Help function to print MCMC state
Helping function for print and summary (both are quite similar)
Help function to print debugging messages
Print method for bdp_dw_result class
Print method for gibbs_psd class
ARMA(p,q) spectral density function
Convert psd vector to array (compatibility: to use plotMPsd for univar...
Time series model X_t=e_t, E[e_t]=0
time-varying spectral density function of the tvARMA(1,2) processes fo...
helping function for psd_varma
VARMA(p,q) spectral density function
Psi-weight calculation for a VARMA model. NOTE: This is an exact copy ...
Evaluation of normalized time-varying spectral density function (based...
Evaluation of normalized time-varying spectral density function (for M...
Compute normalized PSD in the Bernstein-Dirichlet parametrization.
Store imaginary parts above and real parts below the diagonal
Simulate from a Multivariate Normal Distribution
Negative log AR likelihood values for scree-type plots
simulate from the tvARMA(1,2) process for illustration
Simulate from a VARMA model
sum of multivariate normal log densities with mean 0 and covariance Si...
Summary method for bdp_dw_result class
Summary method for gibbs_psd class
VARMA transfer polynomials
Helping function for uci_matrix
Uniform credible intervals in matrix-valued case
Helping function for uci_matrix
Helping function for uci_matrix
Uniform maximum, as needed for uniform credible intervals
Range intervals I_l, see (63) in Mittelbach et al.
Get L (lower triangular Cholesky) from x Called U^* in Mittelbach et a...
Get log(c) vector, see (70) in Mittelbach et al. Helping function for ...
Get log(d) vector, see (39) in Mittelbach et al, adjusted to complex c...
Get log(f_l), see (66) in Mittelbach et al. Helping function for `unit...
Get mu vector, see (36) in Mittelbach et al. Helping function for `uni...
Get log(nu) vector, see (38) in Mittelbach et al. Helping function for...
Get p vector, see (67) in Mittelbach et al.
Get q vector, see (68) in Mittelbach et al.
Obtain one uniform draw from d times d Hpd matrices with unit trace Se...
Draw uniformly from Hpd matrices with unit trace
Get sigma2 vector, see (70) in Mittelbach et al. Helping function for ...
Get U (Hpd with unit trace) matrix from phi (hyperspherical coordinate...
Get x from phi, see (62) in Mittelbach et al.
Redundantly roll out a PSD from length N=floor(n/2) to length n
VAR regressor matrix, see Section 2.2.3 in Koop and Korobilis (2010)
Get VARMA PSD from transfer polynomials Helping function for `psd_varm...
This is a nearly exact copy of the MTS::VARMAcov function, where the o...
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.