bx_dx {mixAR} | R Documentation |
RJMCMC move for AR order selection of mixture autoregressive models
Description
Computes probabilities for deciding whether the AR order should be increased or decreased by 1 at each iteration in Bayesian analysis of mixture autoregressive models.
Usage
bx_dx(method = c("Ratio", "Poisson", "NULL"), par, pk)
Arguments
method |
the method used for updating probabilities. If |
par |
tuning parameter for calculating updating probabilities. |
pk |
autoregressive order of the selected component. |
Value
A list of 2
elements:
bx |
The probability of increasing the autoregressive order by 1. |
dx |
The probability of decreasing the autoregressive order by 1,
calculated as |
Note
This function is for use within Choose_pk
.
Author(s)
Davide Ravagli
References
Ravagli D, Boshnakov GN (2020). “Bayesian analysis of mixture autoregressive models covering the complete parameter space.” 2006.11041, https://arxiv.org/abs/2006.11041.