{ "_id": "6ac356e3d743750d376da80b", "Package": "bayesianOU", "Type": "Package", "Title": "Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic\nVolatility", "Version": "0.2.0", "Authors@R": "person(\"José Mauricio\", \"Gómez Julián\", email = \"isadore.nabi@pm.me\",\nrole = c(\"aut\", \"cre\"),\ncomment = c(ORCID = \"0009-0000-2412-3150\"))", "Description": "Fits Bayesian nonlinear Ornstein-Uhlenbeck models with\ncubic drift, stochastic volatility, and Student-t innovations.\nThe package implements hierarchical priors for sector-specific\nparameters and supports parallel MCMC sampling via 'Stan'.\nModel comparison is performed using Pareto Smoothed Importance\nSampling Leave-One-Out (PSIS-LOO) cross-validation following\nVehtari, Gelman, and Gabry (2017)\n. Prior specifications follow\nrecommendations from Gelman (2006) for\nscale parameters.", "License": "MIT + file LICENSE", "Encoding": "UTF-8", "Additional_repositories": "https://mc-stan.org/r-packages/", "VignetteBuilder": "knitr", "Config/testthat/edition": "3", "URL": "https://github.com/IsadoreNabi/bayesianOU", "BugReports": "https://github.com/IsadoreNabi/bayesianOU/issues", "Config/roxygen2/version": "8.0.0", "Repository": "https://isadorenabi.r-universe.dev", "Date/Publication": "2026-07-31 20:08:31 UTC", "RemoteUrl": "https://github.com/IsadoreNabi/bayesianOU", "RemoteRef": "HEAD", "RemoteSha": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "NeedsCompilation": "no", "Packaged": { "Date": "2026-10-05 07:34:47 UTC", "User": "root" }, "Author": "José Mauricio Gómez Julián [aut, cre] (ORCID:\n)", "Maintainer": "José Mauricio Gómez Julián ", "_user": "isadorenabi", "_type": "src", "_file": "bayesianOU_0.2.0.tar.gz", "_fileid": "https://r2.ropensci.org/5da22293f3fc0cd55e797d52f53828cd6b27f0c6b6c325e26916c3e10e67b82e", "_filesize": 1723131, "_sha256": "5da22293f3fc0cd55e797d52f53828cd6b27f0c6b6c325e26916c3e10e67b82e", "_expires": "2027-01-13T07:50:57.000Z", "_created": "2026-10-05T07:34:47.000Z", "_published": "2026-10-05T07:50:59.108Z", "_jobs": [ { "job": 111661310338, "time": 191, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "11330948442" }, { "job": 111661310290, "time": 149, "config": "linux-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "11330843626" }, { "job": 111661310348, "time": 127, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "11330939863" }, { "job": 111661310301, "time": 119, "config": "macos-release-arm64", "r": "4.6.1", "check": "OK", "artifact": "11332055877" }, { "job": 111660000036, "time": 263, "config": "source", "r": "4.6.1", "check": "OK", "artifact": "11330549005" }, { "job": 111661310284, "time": 118, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "11331616578" }, { "job": 111661310321, "time": 134, "config": "windows-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "11331302588" }, { "job": 111661310430, "time": 169, "config": "windows-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "11330978218" }, { "job": 111661310403, "time": 173, "config": "windows-release-x86_64", "r": "4.6.1", "check": "OK", "artifact": "11330564474" } ], "_host": "GitHub-Actions", "_buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098", "_status": "success", "_upstream": "https://github.com/IsadoreNabi/bayesianOU", "_commit": { "id": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "author": "José Mauricio Gómez Julián ", "committer": "José Mauricio Gómez Julián ", "message": "Add full licence text so the licence is machine-detectable on GitHub", "time": 1785528511 }, "_maintainer": { "name": "José Mauricio Gómez Julián", "email": "isadore.nabi@pm.me", "login": "isadorenabi", "orcid": "0009-0000-2412-3150", "description": "Economist and Data Scientist. 13 R packages on CRAN: Bayesian statistics, time series, topology, causal inference. Philosophy of science and political economy.", "uuid": 77359677 }, "_distro": "resolute", "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 4.1.0", "role": "Depends" }, { "package": "stats", "role": "Imports" }, { "package": "graphics", "role": "Imports" }, { "package": "utils", "role": "Imports" }, { "package": "parallel", "role": "Imports" }, { "package": "cmdstanr", "role": "Suggests" }, { "package": "rstan", "version": ">= 2.21.0", "role": "Suggests" }, { "package": "loo", "version": ">= 2.5.0", "role": "Suggests" }, { "package": "posterior", "role": "Suggests" }, { "package": "ggplot2", "role": "Suggests" }, { "package": "tidyr", "role": "Suggests" }, { "package": "openxlsx", "role": "Suggests" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" } ], "_owner": "isadorenabi", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2025-51", "n": 1 }, { "week": "2026-23", "n": 1 }, { "week": "2026-25", "n": 1 }, { "week": "2026-26", "n": 1 }, { "week": "2026-31", "n": 1 } ], "_tags": [ { "name": "0.1.3", "date": "2025-12-20" } ], "_topics": [ "bayesian-statistics", "stochastic-processes" ], "_stars": 0, "_contributors": [ { "user": "isadorenabi", "count": 5, "uuid": 77359677 } ], "_userbio": { "uuid": 77359677, "type": "user", "name": "José Mauricio Gómez Julián", "followers": 1, "description": "Economist and Data Scientist. 13 R packages on CRAN: Bayesian statistics, time series, topology, causal inference. Philosophy of science and political economy." }, "_downloads": { "count": 395, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/bayesianOU" }, "_devurl": "https://github.com/isadorenabi/bayesianou", "_searchresults": 8, "_rbuild": "4.6.1", "_assets": [ "extra/bayesianOU.html", "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/manual.pdf", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "LICENSE" ], "_homeurl": "https://github.com/isadorenabi/bayesianou", "_realowner": "isadorenabi", "_cranurl": true, "_releases": [ { "version": "0.1.3", "date": "2025-12-19" }, { "version": "0.2.0", "date": "2026-06-18" } ], "_exports": [ "build_accounting_block", "build_beta_tmg_table", "compare_models_loo", "count_divergences", "drift_decomposition_grid", "evaluate_oos", "evaluate_oos_nested", "export_model_comparison", "extract_convergence_evidence", "extract_mu_trajectory", "extract_posterior_summary", "fit_ou_nested", "fit_ou_nested_mi", "fit_ou_nonlinear_tmg", "kappa_stability_evidence", "ou_geom_bridge", "ou_geom_hmc", "ou_geom_metric_euclidean", "ou_geom_metric_riemannian", "ou_geom_target", "ou_level_spec", "ou_nested_stan_code", "plot_beta_tmg", "plot_drift_curves", "plot_sv_evolution", "summarize_sv_sigmas", "validate_ou_fit", "zscore_train" ], "_help": [ { "page": "build_accounting_block", "title": "Build accounting block for TMG", "topics": [ "build_accounting_block" ] }, { "page": "build_beta_tmg_table", "title": "Build beta(TMG_t) table by sector and time", "topics": [ "build_beta_tmg_table" ] }, { "page": "compare_models_loo", "title": "Compare models using PSIS-LOO", "topics": [ "compare_models_loo" ] }, { "page": "count_divergences", "title": "Count HMC divergences", "topics": [ "count_divergences" ] }, { "page": "drift_decomposition_grid", "title": "Drift decomposition over grid", "topics": [ "drift_decomposition_grid" ] }, { "page": "evaluate_oos", "title": "Evaluate out-of-sample forecast metrics", "topics": [ "evaluate_oos" ] }, { "page": "evaluate_oos_nested", "title": "Out-of-sample forecast metrics for the 2-level nested model", "topics": [ "evaluate_oos_nested" ] }, { "page": "export_model_comparison", "title": "Export model comparison to Excel", "topics": [ "export_model_comparison" ] }, { "page": "extract_convergence_evidence", "title": "Mean-reversion (dynamic stability) evidence for kappa parameters", "topics": [ "extract_convergence_evidence" ] }, { "page": "extract_mu_trajectory", "title": "Latent Level-2 mean trajectory mu_t = m0_s + m1 * G'_t", "topics": [ "extract_mu_trajectory" ] }, { "page": "extract_posterior_summary", "title": "Extract posterior summary from fitted model", "topics": [ "extract_posterior_summary" ] }, { "page": "fit_ou_nested", "title": "Fit the unified nonlinear OU model: single-level or 2-level nested", "topics": [ "fit_ou_nested" ] }, { "page": "fit_ou_nested_mi", "title": "Fit the nested OU model under multiple imputation of the market price", "topics": [ "fit_ou_nested_mi" ] }, { "page": "fit_ou_nonlinear_tmg", "title": "Fit Bayesian nonlinear OU model with TMG effect and SV (single-level)", "topics": [ "fit_ou_nonlinear_tmg" ] }, { "page": "kappa_stability_evidence", "title": "Mean-reversion (dynamic stability) evidence for kappa parameters", "topics": [ "kappa_stability_evidence" ] }, { "page": "ou_geom_bridge", "title": "Bridge a methods-enabled cmdstan model to the geometry engine", "topics": [ "ou_geom_bridge" ] }, { "page": "ou_geom_hmc", "title": "Static Hamiltonian Monte Carlo with a pluggable geometry", "topics": [ "ou_geom_hmc" ] }, { "page": "ou_geom_metric_euclidean", "title": "Euclidean (constant) metric for the geometry engine", "topics": [ "ou_geom_metric_euclidean" ] }, { "page": "ou_geom_metric_riemannian", "title": "Riemannian (position-dependent) metric for the geometry engine", "topics": [ "ou_geom_metric_riemannian" ] }, { "page": "ou_geom_target", "title": "Build a geometry-engine sampling target", "topics": [ "ou_geom_target" ] }, { "page": "ou_level_spec", "title": "Named per-level richness configurations for the comparative experiment", "topics": [ "ou_level_spec" ] }, { "page": "ou_nested_stan_code", "title": "Stan code for the unified nonlinear OU model", "topics": [ "ou_nested_stan_code" ] }, { "page": "plot_beta_tmg", "title": "Plot beta(TMG_t) evolution by sector", "topics": [ "plot_beta_tmg" ] }, { "page": "plot_drift_curves", "title": "Plot cubic OU drift curves", "topics": [ "plot_drift_curves" ] }, { "page": "plot_sv_evolution", "title": "Plot stochastic volatility evolution", "topics": [ "plot_sv_evolution" ] }, { "page": "plot.ou_nested_2level", "title": "Plot a 2-level nested OU fit", "topics": [ "plot.ou_nested_2level" ] }, { "page": "plot.ou_nested_mi", "title": "Plot a multiple-imputation nested OU fit", "topics": [ "plot.ou_nested_mi" ] }, { "page": "print.ou_nested_2level", "title": "Print a 2-level nested OU fit", "topics": [ "print.ou_nested_2level" ] }, { "page": "print.ou_nested_mi", "title": "Print a multiple-imputation nested OU fit", "topics": [ "print.ou_nested_mi" ] }, { "page": "summarize_sv_sigmas", "title": "Summarize stochastic volatility sigmas", "topics": [ "summarize_sv_sigmas" ] }, { "page": "summary.ou_nested_2level", "title": "Summarize a 2-level nested OU fit", "topics": [ "print.summary.ou_nested_2level", "summary.ou_nested_2level" ] }, { "page": "summary.ou_nested_mi", "title": "Summarize a multiple-imputation nested OU fit", "topics": [ "print.summary.ou_nested_mi", "summary.ou_nested_mi" ] }, { "page": "validate_ou_fit", "title": "Validate OU model fit", "topics": [ "validate_ou_fit" ] }, { "page": "zscore_train", "title": "Z-score standardization using training period statistics", "topics": [ "zscore_train" ] } ], "_readme": "https://github.com/IsadoreNabi/bayesianOU/raw/HEAD/README.md", "_rundeps": [], "_vignettes": [ { "source": "nested-gravitation.Rmd", "filename": "nested-gravitation.html", "title": "Two-level nested gravitation: model, configurations and design decisions", "engine": "knitr::rmarkdown", "headings": [ "1. The economic question (§2.4 anchor)", "2. The two-level model", "3. Single source of truth and bit-exact equivalence (D-IMPL-1)", "4. Stability I: bounded reversion speeds (D-IMPL-2)", "5. Stability II: the enriched Level 2 (D-IMPL-9)", "6. Honest dispatch and the disaggregation coupling (D-IMPL-3, D-IMPL-4)", "7. Two-level diagnostics (D-IMPL-5, D-IMPL-6)", "8. Reconstruction with uncertain K (D-IMPL-7)", "9. Per-level richness switches and the comparative experiment (D-IMPL-8)", "10. Exposing the Level-2 richness: nu_p and sigma_p(t) (D-IMPL-10)", "11. Level 3: prices of production gravitate around values (D-IMPL-9.4, D-IMPL-10.1, D-IMPL-11)", "12. The wedge: why the value coupling is not spurious correlation (D-S12.3)", "13. The reversion speed kappa: interpretive framework (D-S12.4)", "14. Validation", "15. Caveats (anti-overreach)", "16. Block 9 validation: internal, external, and simulation-based calibration", "17. The logical verdict: why the \"negative\" external results corroborate the thesis", "References" ], "created": "2026-06-18 18:42:11", "modified": "2026-06-18 18:42:11", "commits": 1 } ], "_score": 4.3979400086720375, "_indexed": true, "_nocasepkg": "bayesianou", "_universes": [ "isadorenabi" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.2.0", "date": "2026-10-05T07:38:53.000Z", "distro": "resolute", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/397a9375e37d89f37555e50aaef419312a6c50836fbae108473d09c874d3130a", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.6.1", "os": "linux", "version": "0.2.0", "date": "2026-10-05T07:38:15.000Z", "distro": "resolute", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/bb959ad43851544f8d4c1a310c09090c6e4df0bc6458c7d283587d549cee1b6e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.5.3", "os": "mac", "version": "0.2.0", "date": "2026-10-05T07:49:33.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/db9640640ad29d276c72fbf7620b0832a120d7d013fbb6caee5214f588c704ac", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.6.1", "os": "mac", "version": "0.2.0", "date": "2026-10-05T07:50:07.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/b0bd24877f987019ec14f03a5431a9071aa11f454baf61ba22a2543d112fff27", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.6.0", "os": "wasm", "version": "0.2.0", "date": "2026-10-05T07:38:05.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/d04daade8821a4312b359648193d9f9357ad5c76f1cb584dd9e2b1ef32fdcf32", "status": "success", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.7.0", "os": "win", "version": "0.2.0", "date": "2026-10-05T07:37:57.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/95ab8407c8c6c2ceb69fb86d89c58b2924dae15cb4e1759fc66291264810c0ea", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.5.3", "os": "win", "version": "0.2.0", "date": "2026-10-05T07:38:24.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/aef628c70385d51cb14e5ff07ad0142719519e0b6ffdc2cfeb0a3848ed825ad9", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" }, { "r": "4.6.1", "os": "win", "version": "0.2.0", "date": "2026-10-05T07:38:28.000Z", "commit": "e9d52c0d1fc55d0eaca9de15c33dd401e4fc23c1", "fileid": "https://r2.ropensci.org/4fd58879762f5b4eb512123e86a951df5a999d503d366cf0696f5e86515c19ff", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/isadorenabi/actions/runs/37278206098" } ] }