Last data update: 2014.03.03

R: Posterior distribution of the phi parameter of the AR(1)...
inferfR Documentation

Posterior distribution of the φ parameter of the AR(1) process, using an Accept-Reject algorithm.

Description

The function inferf is used to create a sample from the posterior distribution of φ. The function uses the eq.10 (Tyralis and Koutsoyiannis 2014) to make inference on φ and an Accept-Reject algorithm (see Robert and Casella 2004, Algorithm A.4).

Usage

inferf(data,n,add = 0.001,minu = -0.999,maxu = 0.999)

Arguments

data

time series data

n

The size of the simulated sample

add

A number added to the maximum value of the natural logarithm of eq.10, to avoid bugs of the Accept-Reject algorithm due to computation errors

minu

A lower bound to the parameter φ

maxu

An upper bound to the parameter φ

Value

Vector with the simulated sample.

Author(s)

Hristos Tyralis

References

Robert C.P., Casella G. (2004) Monte Carlo Statistical Methods, New York: Springer.

Tyralis H., Koutsoyiannis, D. (2014) A Bayesian statistical model for deriving the predictive distribution of hydroclimatic variables, Climate Dynamics 42(11-12), 2867–2883. http://dx.doi.org/10.1007/s00382-013-1804-y.

Examples

# Posterior distribution of the phi parameter of the AR(1) process for the Nile
# time series.

set.seed(12345)

samp.sim <- inferf(Nile,500)

hist(samp.sim,breaks = 20,main = expression(paste("Histogram of ",phi)),
xlab = expression(phi))

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(HKprocess)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/HKprocess/inferf.Rd_%03d_medium.png", width=480, height=480)
> ### Name: inferf
> ### Title: Posterior distribution of the phi parameter of the AR(1)
> ###   process, using an Accept-Reject algorithm.
> ### Aliases: inferf
> ### Keywords: models
> 
> ### ** Examples
> 
> # Posterior distribution of the phi parameter of the AR(1) process for the Nile
> # time series.
> 
> set.seed(12345)
> 
> samp.sim <- inferf(Nile,500)
> 
> hist(samp.sim,breaks = 20,main = expression(paste("Histogram of ",phi)),
+ xlab = expression(phi))
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>