likelihood {bspec}R Documentation

Prior, likelihood and posterior

Description

Prior density, likelihood, and posterior density functions for the posterior distributions specified through a bspec object.

Usage

dprior(x, ...)
likelihood(x, ...)
dposterior(x, ...)
## S3 method for class 'bspec':
dprior(x, theta, two.sided=x$two.sided, log=FALSE, ...)
## S3 method for class 'bspec':
likelihood(x, theta, two.sided=x$two.sided, log=FALSE, ...)
## S3 method for class 'bspec':
dposterior(x, theta, two.sided=x$two.sided, log=FALSE, ...)

Arguments

x a bspec object.
theta a numeric vector of parameter values, corresponding to the Fourier frequencies in the x$freq element.
two.sided a logical flag indicating whether the parameters theta correspond to the one-sided or two-sided spectrum.
log a logical flag indicating whether to return logarithmic density (or likelihood) values.
...

Details

Prior and posterior are both scaled inverse chi-squared distributions, and the likelihood is Normal.

Value

A numeric function value.

Author(s)

Christian Roever, bspec@web.de

References

Roever, C., Meyer, R., Christensen, N. (2008): Modelling coloured noise. Arxiv preprint 0804.3853 [stat.ME], http://arxiv.org/abs/0804.3853, (submitted for publication).

See Also

bspec, quantile.bspec, expectation

Examples

lhspec <- bspec(lh, priordf=1, priorscale=0.6)

# draw sample from posterior:
posteriorsample <- sample(lhspec)

# plot the sample:
plot(lhspec)
lines(lhspec$freq, posteriorsample, type="b", col="red")

# compute prior, likelihood, posterior:
print(c("prior"     = dprior(lhspec, posteriorsample),
        "likelihood"= likelihood(lhspec, posteriorsample),
        "posterior" = dposterior(lhspec, posteriorsample)))

[Package bspec version 1.1 Index]