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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 |
| DOI: | 10.32614/CRAN.package.bayesforecast |
| 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: | Bayesian, TimeSeries |
| CRAN checks: | bayesforecast results |
| Reference manual: | bayesforecast.pdf |
| Vignettes: |
Estimating ARIMA Models Estimating GARCH Models |
| Package source: | bayesforecast_1.0.1.tar.gz |
| Windows binaries: | r-devel: bayesforecast_1.0.1.zip, r-release: bayesforecast_1.0.1.zip, r-oldrel: bayesforecast_1.0.1.zip |
| macOS binaries: | r-release (arm64): bayesforecast_1.0.1.tgz, r-oldrel (arm64): bayesforecast_1.0.1.tgz, r-release (x86_64): bayesforecast_1.0.1.tgz, r-oldrel (x86_64): bayesforecast_1.0.1.tgz |
| Old sources: | bayesforecast archive |
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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.