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Returns fitted volatility series for each set of simulated parameter values used in the calculation of the log-likelihood. Will only operate for simulations from BUGS models with either stochastic volatility or a random variance shift created in the tsbugs package.
● Data Source:
CranContrib
● Keywords:
● Alias: h.fit
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This function is intended for internal use only. It calculates the density function of a mixed multivariate normal-binary distribution for use in the q1q2l.
● Data Source:
CranContrib
● Keywords:
● Alias: dmvnb
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Calculates the posterior model density, q1(.), normalised density, q2(.), and their ratio, l(.), for a set of simulated parameters.
● Data Source:
CranContrib
● Keywords:
● Alias: q1q2l
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This function is intended for internal use only. It calculates the log-likelihood function of a time series of normally distributed data for use in the q1q2l (via dcvts, dsvts or drvts)
● Data Source:
CranContrib
● Keywords:
● Alias: tslogl
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Returns simulated parameters with transformations to or from the real whole number line. Parameters to transform are dependent on their specification of their prior distributions in the BUGS model.
● Data Source:
CranContrib
● Keywords:
● Alias: rescale
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Returns the normalising constant, given posterior model densities, q1(.), normalised densities, q2(.) and their ratios, l(.), from both unnormailised (w1) and normalised samples (w2) of parameter values. All three of these input measures can be obtained from each sample using the q1q2l function.
● Data Source:
CranContrib
● Keywords:
● Alias: bridge
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Returns fitted time series for each set of simulated parameter values used in the calculation of the log-likelihood.
● Data Source:
CranContrib
● Keywords:
● Alias: y.fit
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This function is intended for internal use only. It collates the parameters for a single model into one list, given the BUGS model and the paramter simulations in a data frame.
● Data Source:
CranContrib
● Keywords:
● Alias: theta.it
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The tsbridge package contains a collection of R functions that can be used to estimate normalising constants using the bridge sampler of Meng and Wong (1996). The functions can be applied to calculate posterior model probabilities for a variety of time series Bayesian models, where parameters are estimated using BUGS, and models themselves are created using the tsbugs package.
● Data Source:
CranContrib
● Keywords:
● Alias: tsbridge, tsbridge-package
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This function is intended for internal use only. It calculates the posterior density of a constant variance, stochastic volatility or random variance shift time series model given a set of sample of parameter values.
● Data Source:
CranContrib
● Keywords:
● Alias: dcvts, drvts, dsvts
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providing 
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