loglikbridge {codadiags} | R Documentation |
Compute the so called "Log-likelihood bridge" process.
loglikbridge(X)
X |
MCMC sampling sequence of length N |
log-likelihood sequence
LL=≤ft\{ll_n\right\}_{2≤q n≤q N-2}, ll_n=N*ln(\hat σ_{1,N}^2)-n*ln(\hat σ_{1,n}^2)-(N-n)ln(\hat σ_{n+1,N}^2)
x = AR1(rho=0) llb = loglikbridge(x) plot(llb,type='l',col='red')