bayesianOU: Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic Volatility

Fits Bayesian nonlinear Ornstein-Uhlenbeck models with cubic drift, stochastic volatility, and Student-t innovations. The package implements hierarchical priors for sector-specific parameters and supports parallel MCMC sampling via 'Stan'. Model comparison is performed using Pareto Smoothed Importance Sampling Leave-One-Out (PSIS-LOO) cross-validation following Vehtari, Gelman, and Gabry (2017) <doi:10.1007/s11222-016-9696-4>. Prior specifications follow recommendations from Gelman (2006) <doi:10.1214/06-BA117A> for scale parameters.

Version:	0.1.3
Depends:	R (≥ 4.1.0)
Imports:	stats, graphics, utils
Suggests:	cmdstanr, rstan (≥ 2.21.0), loo (≥ 2.5.0), posterior, ggplot2, tidyr, openxlsx, testthat (≥ 3.0.0)
Published:	2025-12-19
DOI:	10.32614/CRAN.package.bayesianOU
Author:	José Mauricio Gómez Julián [aut, cre]
Maintainer:	José Mauricio Gómez Julián <isadore.nabi at pm.me>
BugReports:	https://github.com/isadorenabi/bayesianOU/issues
License:	MIT + file LICENSE
URL:	https://github.com/isadorenabi/bayesianOU
NeedsCompilation:	no
Additional_repositories:	https://mc-stan.org/r-packages/
Materials:	README
CRAN checks:	bayesianOU results

Documentation:

Reference manual:

bayesianOU.html , bayesianOU.pdf

Downloads:

Package source:	bayesianOU_0.1.3.tar.gz
Windows binaries:	r-devel: bayesianOU_0.1.3.zip, r-release: not available, r-oldrel: bayesianOU_0.1.3.zip
macOS binaries:	r-release (arm64): bayesianOU_0.1.3.tgz, r-oldrel (arm64): bayesianOU_0.1.3.tgz, r-release (x86_64): bayesianOU_0.1.3.tgz, r-oldrel (x86_64): bayesianOU_0.1.3.tgz

Linking:

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