bayesforecast: Bayesian Time Series Modeling with Stan
Fit Bayesian time series models using 'Stan' for full Bayesian inference. A wide range
of distributions and models are supported, allowing users to fit Seasonal ARIMA, ARIMAX, Dynamic
Harmonic Regression, GARCH, t-student innovation GARCH models, asymmetric GARCH, Random Walks, stochastic
volatility models for univariate time series. Prior specifications are flexible and explicitly encourage
users to apply prior distributions that actually reflect their beliefs. Model fit can easily be assessed
and compared with typical visualization methods, information criteria such as loglik, AIC, BIC WAIC, Bayes
factor and leave-one-out cross-validation methods. References: Hyndman (2017)
<doi:10.18637/jss.v027.i03>; Carpenter et al. (2017) <doi:10.18637/jss.v076.i01>.
| Version: |
1.0.1 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
bayesplot (≥ 1.5.0), methods, gridExtra, ggplot2, forecast, loo (≥ 2.2.0), Rcpp (≥ 0.12.0), rstan (≥ 2.18.1), rstantools (≥ 2.0.0), RcppParallel (≥ 5.0.1), bridgesampling (≥ 0.3-0), MASS, StanHeaders, astsa, lubridate, prophet, zoo |
| LinkingTo: |
BH (≥ 1.66.0), Rcpp (≥ 0.12.0), RcppParallel (≥ 5.0.1), RcppEigen (≥ 0.3.3.3.0), rstan (≥ 2.18.1), StanHeaders (≥
2.18.0) |
| Suggests: |
knitr, rmarkdown, ggfortify |
| Published: |
2021-06-17 |
| Author: |
Asael Alonzo Matamoros [aut, cre],
Cristian Cruz Torres [aut],
Andres Dala [ctb],
Rob Hyndman [ctb],
Mitchell O'Hara-Wild [ctb] |
| Maintainer: |
Asael Alonzo Matamoros <asael.alonzo at gmail.com> |
| License: |
GPL-2 |
| NeedsCompilation: |
yes |
| SystemRequirements: |
GNU make |
| Citation: |
bayesforecast citation info |
| Materials: |
README NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
bayesforecast results |
Documentation:
Downloads:
Reverse dependencies:
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