Calculate normalising constants for Bayesian time series models.

Documentation for package ‘tsbridge’ version 1.1

tsbridge-package	Calculated normalising constants for Bayesian time series models
bridge	Bridge Function to Obtain Normalising Constant
dcvts	Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.
dmvnb	Density Function for Multivariate Normal-Binary Distribution for Use With RV-Shift Models
drvts	Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.
dsvts	Posterior Density of Constant Variance, Stochastic Volatility and Random Variance Shift Time Series Model.
h.fit	Fitted Volatility Series from Simulated Parameters
q1q2l	Calculate Posterior Model Density, q1(.), Normalised Density, q2(.), and their Ratio, l(.)
rescale	Rescale Values to and from Whole Real Number Line
theta.it	Convert Parameter Data Frame to List
tsbridge	Calculated normalising constants for Bayesian time series models
tslogl	Log-Likelihood of Time Series Model.
y.fit	Fitted Time Series from Simulated Parameters