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This package provides public C++ headers. Some might be implement these useful.
bvharsim.h
: Rcpp random generation functions that are
widely used in Bayesian statistics.ols.h
: OLS classesminnesota.h
: Minnesota prior classesmcmcsv.h
: Classes for stochastic volatility models. It
includes
mcmchs.h
: Horseshoe prior classesmcmcssvs.h
: SSVS prior classesbvharprogress.h
: Simple progress bar classesbvharinterrupt.h
: Interruption handler classesYou can use these by writing in your R package DESCRIPTION:
LinkingTo:
BH,
Rcpp,
RcppEigen,
bvhar
Also, you can use in your single C++
source:
// [[Rcpp::depends(BH, RcppEigen, bvhar)]]
mcmc*.h
has classes that can conduct MCMC. Since it is
designed thread-safe, you can OpenMP for parallel multiple chain
loop.
std::unique_ptr
)
doPosteriorDraws()
updates MCMC draws, so use this
inside loop.returnRecords(burn, thin)
returns
Rcpp::List
of every MCMC record.In case of SV model, you can define your own prior by defining a derived class.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.