Last data update: 2014.03.03
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R: Compute different types of importance weights based on...
Compute different types of importance weights based on Jeffreys's prior
Description
These functions compute different types of importance weights based on Jeffreys's priors used in arima_pi .
Usage
approx_joint_jeffreys(psi, xreg = NULL, p, q, n)
approx_marginal_jeffreys(psi, p, q)
exact_joint_jeffreys(psi, xreg = NULL, p, q, n)
exact_marginal_jeffreys(psi, p, q, n)
Arguments
psi |
vector containing the ar and ma parameters (in that order).
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xreg |
matrix or data frame containing the exogenous variables
(not including the intercept which is always included for non-differenced series)
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p |
number of ar parameters
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q |
number of ma parameters
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n |
length of the time series
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See Also
arima_pi .
Results
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