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BayesianDisaggregation: Evidence-Based Bayesian Disaggregation of Aggregate Indices

Disaggregates an observed aggregate price index into sectoral components with a Bayesian state-space model in which the aggregate enters as a genuine observation density rather than as a renormalization identity. A random-walk-with-drift transition in log space (with partial pooling on the drift and the innovation scale) and an estimable cross-sectional concentration produce posterior draws of the sectoral indices with credible intervals, suitable as multiple-imputation input for downstream dynamic models. The Hamiltonian Monte Carlo engine follows Stan (Carpenter et al., 2017) <doi:10.18637/jss.v076.i01>; model comparison uses Pareto Smoothed Importance Sampling Leave-One-Out cross-validation (Vehtari, Gelman and Gabry, 2017) <doi:10.1007/s11222-016-9696-4>. A closed-form linear-Gaussian Kalman/RTS smoother provides an exact, MCMC-free Bayesian alternative for the same aggregate evidence.

Version: 0.2.1
Depends: R (≥ 4.1.0)
Imports: readxl, dplyr, tidyr, stringr, magrittr, stats, parallel
Suggests: cmdstanr, rstan (≥ 2.21.0), posterior, loo (≥ 2.5.0), knitr, rmarkdown, ggplot2, readr, testthat (≥ 3.0.0)
Published: 2026-06-18
DOI: 10.32614/CRAN.package.BayesianDisaggregation
Author: José Mauricio Gómez Julián ORCID iD [aut, cre]
Maintainer: José Mauricio Gómez Julián <isadore.nabi at pm.me>
License: MIT + file LICENSE
NeedsCompilation: no
Additional_repositories: https://mc-stan.org/r-packages/
Materials: NEWS
CRAN checks: BayesianDisaggregation results

Documentation:

Reference manual: BayesianDisaggregation.html , BayesianDisaggregation.pdf
Vignettes: Evidence-based Bayesian disaggregation (source, R code)

Downloads:

Package source: BayesianDisaggregation_0.2.1.tar.gz
Windows binaries: r-devel: BayesianDisaggregation_0.2.1.zip, r-release: BayesianDisaggregation_0.2.1.zip, r-oldrel: BayesianDisaggregation_0.2.1.zip
macOS binaries: r-release (arm64): BayesianDisaggregation_0.2.1.tgz, r-oldrel (arm64): BayesianDisaggregation_0.2.1.tgz, r-release (x86_64): BayesianDisaggregation_0.2.1.tgz, r-oldrel (x86_64): BayesianDisaggregation_0.2.1.tgz
Old sources: BayesianDisaggregation archive

Reverse dependencies:

Reverse imports: convergenceDFM

Linking:

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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.