Package: bayesianOU 0.2.0
bayesianOU: Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic Volatility
Fits Bayesian nonlinear Ornstein-Uhlenbeck models with cubic drift, stochastic volatility, and Student-t innovations. The package implements hierarchical priors for sector-specific parameters and supports parallel MCMC sampling via 'Stan'. Model comparison is performed using Pareto Smoothed Importance Sampling Leave-One-Out (PSIS-LOO) cross-validation following Vehtari, Gelman, and Gabry (2017) <doi:10.1007/s11222-016-9696-4>. Prior specifications follow recommendations from Gelman (2006) <doi:10.1214/06-BA117A> for scale parameters.
Authors:
bayesianOU_0.2.0.tar.gz
bayesianOU_0.2.0.zip(r-4.7-any)bayesianOU_0.2.0.zip(r-4.6-any)bayesianOU_0.2.0.zip(r-4.5-any)
bayesianOU_0.2.0.tgz(r-4.6-any)bayesianOU_0.2.0.tgz(r-4.5-any)
bayesianOU_0.2.0.tar.gz(r-4.7-any)bayesianOU_0.2.0.tar.gz(r-4.6-any)
bayesianOU_0.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
bayesianOU/json (API)
| # Install 'bayesianOU' in R: |
| install.packages('bayesianOU', repos = c('https://isadorenabi.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/isadorenabi/bayesianou/issues
bayesian-statisticsstochastic-processes
Last updated from:e9d52c0d1f. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 191 | ||
| source / vignettes | OK | 263 | ||
| linux-release | OK | 149 | ||
| macos-release | OK | 119 | ||
| macos-oldrel | OK | 127 | ||
| windows-devel | OK | 134 | ||
| windows-release | OK | 173 | ||
| windows-oldrel | OK | 169 | ||
| wasm-release | OK | 118 |
Exports:build_accounting_blockbuild_beta_tmg_tablecompare_models_loocount_divergencesdrift_decomposition_gridevaluate_oosevaluate_oos_nestedexport_model_comparisonextract_convergence_evidenceextract_mu_trajectoryextract_posterior_summaryfit_ou_nestedfit_ou_nested_mifit_ou_nonlinear_tmgkappa_stability_evidenceou_geom_bridgeou_geom_hmcou_geom_metric_euclideanou_geom_metric_riemannianou_geom_targetou_level_specou_nested_stan_codeplot_beta_tmgplot_drift_curvesplot_sv_evolutionsummarize_sv_sigmasvalidate_ou_fitzscore_train
Dependencies: