codadiags (version 1.0)

loglikbridge: Compute the so called "Log-likelihood bridge" process.

Description

Compute the so called "Log-likelihood bridge" process.

Usage

loglikbridge(X)

Arguments

X

MCMC sampling sequence of length N

Value

• log-likelihood sequence $$LL=\left{ll_n\right}_{2\leq n\leq N-2}, ll_n=N*ln(\hat \sigma_{1,N}^2)-n*ln(\hat \sigma_{1,n}^2)-(N-n)ln(\hat \sigma_{n+1,N}^2)$$

Examples

x = AR1(rho=0)
llb = loglikbridge(x)
plot(llb,type='l',col='red')