Bayesian Time Series Modeling with Stan


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Documentation for package ‘bayesforecast’ version 1.0.1

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A B C D E F G H I J L M N O P R S U V W

bayesforecast-package Bayesian Time Series Modeling with 'Stan'.

-- A --

aic Computes posterior sample of the pointwise AIC method from a varstan object
AICc Computes posterior sample of the pointwise corrected AIC method from a varstan object
air Air Transport Passengers Australia
as.stan Convert to a stanfit object.
aust International Tourists to Australia: Total visitor nights.
auto.sarima Automatic estimate of a Seasonal ARIMA model
autoplot.ts Automatically create a ggplot for time series objects.
autoplot.varstan autoplot methods for varstan models.

-- B --

bayesforecast Bayesian Time Series Modeling with 'Stan'.
bayes_factor Bayes Factors from Marginal Likelihoods.
bayes_factor.varstan Bayes Factors from Marginal Likelihoods.
beta Define a beta prior distribution
bic Computes posterior sample of the pointwise BIC method from a varstan object
birth U.S. Monthly Live Births.
bridge_sampler Log Marginal Likelihood via Bridge Sampling.
bridge_sampler.varstan Log Marginal Likelihood via Bridge Sampling.

-- C --

cauchy Define a Cauchy prior distribution
check_residuals Visual check of residuals in a 'varstan' object.
chisq Define a chi square prior distribution

-- D --

demgbp DEM/GBP exchange rate log-returns

-- E --

exponential Define an exponential prior distribution
extract_stan Extract chains of an stanfit object implemented in rstan package

-- F --

fitted.varstan Expected Values of the Posterior Predictive Distribution
forecast Forecasting varstan objects
forecast.varstan Forecasting varstan objects
fortify.ts Automatically create a ggplot for time series objects.
fourier Fourier terms for modeling seasonality.

-- G --

gamma Define a gamma prior distribution
garch A constructor for a GARCH(s,k,h) model.
get_parameters Get parameters of a varstan object
get_prior Get the prior distribution of a model parameter
ggacf 'acf' plot
gghist Histogram with optional normal density functions
ggnorm 'qqplot' with normal 'qqline'
ggpacf 'pacf' plot.

-- H --

Holt A constructor for a Holt trend state-space model.
Hw A constructor for a Holt-Winters state-space model.

-- I --

inverse.chisq Define an inverse gamma prior distribution
inverse.gamma Define an inverse gamma prior distribution
ipc Monthly inflation coefficients from 1980-2018.

-- J --

jeffrey Define a non informative Jeffrey's prior for the degree freedom hyper parameter

-- L --

laplace Define a Laplace prior distribution
LKJ Define a LKJ matrix prior distribution
LocalLevel A constructor for local level state-space model.
loglik Extract posterior sample of the accumulated log-likelihood from a varstan object
log_lik Extract posterior sample of the pointwise log-likelihood from a varstan object.
log_lik.varstan Extract posterior sample of the pointwise log-likelihood from a varstan object.
loo Leave-one-out cross-validation
loo.varstan Leave-one-out cross-validation

-- M --

mcmc_plot MCMC Plots Implemented in 'bayesplot'
mcmc_plot.varstan MCMC Plots Implemented in 'bayesplot'
model Print the defined model of a varstan object.
model.Bekk Print the defined model of a varstan object.
model.garch Print the defined model of a varstan object.
model.Sarima Print the defined model of a varstan object.
model.SVM Print the defined model of a varstan object.
model.varma Print the defined model of a varstan object.
model.varstan Print the defined model of a varstan object.

-- N --

naive Naive and Random Walk models.
normal Define a normal prior distribution

-- O --

oildata Annual oil production in Saudi Arabia

-- P --

plot.varstan plot methods for varstan models.
posterior_epred Expected Values of the Posterior Predictive Distribution
posterior_epred.varstan Expected Values of the Posterior Predictive Distribution
posterior_interval Posterior uncertainty intervals
posterior_predict Draw from posterior predictive h steps ahead distribution
posterior_predict.varstan Draw from posterior predictive h steps ahead distribution
predictive_error Out-of-sample predictive errors
predictive_error.varstan Out-of-sample predictive errors
print.garch Print a garch model
print.Holt Print a Holt model
print.Hw Print a Holt-Winter model
print.LocalLevel Print a Local Level model
print.naive Print a naive model
print.Sarima Print a Sarima model
print.ssm Print a state-space model
print.SVM Print a Stochastic Volatility model
print.varstan Print a varstan object
prior_summary Generic function for extracting information about prior distributions
prior_summary.varstan Generic function for extracting information about prior distributions

-- R --

report Print a full report of the time series model in a varstan object.
report.Bekk Print a full report of the time series model in a varstan object.
report.garch Print a full report of the time series model in a varstan object.
report.naive Print a full report of the time series model in a varstan object.
report.Sarima Print a full report of the time series model in a varstan object.
report.varma Print a full report of the time series model in a varstan object.
report.varstan Print a full report of the time series model in a varstan object.
residuals.varstan Generic function and method for extract the residual of a varstan object

-- S --

Sarima Constructor a Multiplicative Seasonal ARIMA model.
set_prior Set a prior distribution to a model parameter.
ssm A constructor for a Additive linear State space model.
stan_garch Fitting for a GARCH(s,k,h) model.
stan_Holt Fitting an Holt state-space model.
stan_Hw Fitting a Holt-Winters state-space model.
stan_LocalLevel Fitting a Local level state-space model.
stan_naive Naive and Random Walk models.
stan_sarima Fitting a Multiplicative Seasonal ARIMA model.
stan_ssm Fitting an Additive linear State space model.
stan_SVM Fitting a Stochastic volatility model
student Define a t student prior distribution
summary.varstan Summary method for a varstan object
SVM Constructor of an Stochastic volatility model object

-- U --

uniform Define a uniform prior distribution

-- V --

varstan Constructor of a varstan object.

-- W --

waic Widely Applicable Information Criterion (WAIC)
waic.varstan Widely Applicable Information Criterion (WAIC)