Bayesian Time Series Modeling with Stan

Documentation for package ‘bayesforecast’ version 1.0.5

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Bayesian Time Series Modeling with 'Stan'.

-- A --

aic	Computes posterior sample of the point wise AIC method from a 'varstan' object
AICc	Computes posterior sample of the point wise corrected AIC method from a 'varstan' object
air	Air Transport Passengers Australia
as.stan	Convert to a stanfit object.
aust	International Tourists to Australia: Total visitor nights.
auto.sarima	Automatic estimate of a Seasonal ARIMA model
autoplot.ts	Automatically create a ggplot for time series objects.
autoplot.varstan	autoplot methods for varstan models.

-- B --

bayesforecast	Bayesian Time Series Modeling with 'Stan'.
bayes_factor	Bayes Factors from Marginal Likelihoods.
bayes_factor.varstan	Bayes Factors from Marginal Likelihoods.
beta	Define a beta prior distribution
bic	Computes posterior sample of the pointwise BIC method from a varstan object
birth	U.S. Monthly Live Births.
bridge_sampler	Log Marginal Likelihood via Bridge Sampling.
bridge_sampler.varstan	Log Marginal Likelihood via Bridge Sampling.

-- C --

cauchy	Define a Cauchy prior distribution
check_residuals	Visual check of residuals in a 'varstan' object.
chisq	Define a chi square prior distribution

-- D --

DEM/GBP exchange rate log-returns

-- E --

exponential	Define an exponential prior distribution
extract_stan	Extract chains of an 'stanfit' object implemented in 'rstan' package

-- F --

fitted.varstan	Expected Values of the Posterior Predictive Distribution
forecast	Forecasting 'varstan' objects.
forecast.varstan	Forecasting 'varstan' objects.
fortify.ts	Automatically create a ggplot for time series objects.
fourier	Fourier terms for modeling seasonality.

-- G --

gamma	Define a gamma prior distribution
garch	A constructor for a GARCH(s,k,h) model.
get_parameters	Get parameters of a 'varstan' object.
get_prior	Get the prior distribution of a model parameter
ggacf	'acf' plot
gghist	Histogram with optional normal density functions
ggnorm	'qqplot' with normal 'qqline'
ggpacf	'pacf' plot.

-- H --

Holt	A constructor for a Holt trend state-space model.
Hw	A constructor for a Holt-Winters state-space model.

-- I --

inverse.chisq	Define an inverse gamma prior distribution
inverse.gamma	Define an inverse gamma prior distribution
ipc	Monthly inflation coefficients from 1980-2018.

-- J --

Define a non informative Jeffrey's prior for the degree freedom hyper parameter

-- L --

laplace	Define a Laplace prior distribution
LKJ	Define a LKJ matrix prior distribution
LocalLevel	A constructor for local level state-space model.
loglik	Extract posterior sample of the accumulated log-likelihood from a 'varstan' object
log_lik	Extract posterior sample of the point wise log-likelihood from a 'varstan' object.
log_lik.varstan	Extract posterior sample of the point wise log-likelihood from a 'varstan' object.
loo	Leave-one-out cross-validation
loo.varstan	Leave-one-out cross-validation

-- M --

mcmc_plot	MCMC Plots Implemented in 'bayesplot'
mcmc_plot.varstan	MCMC Plots Implemented in 'bayesplot'
model	Print the defined model of a 'varstan' object.
model.Bekk	Print the defined model of a 'varstan' object.
model.garch	Print the defined model of a 'varstan' object.
model.Sarima	Print the defined model of a 'varstan' object.
model.SVM	Print the defined model of a 'varstan' object.
model.varma	Print the defined model of a 'varstan' object.
model.varstan	Print the defined model of a 'varstan' object.

-- N --

naive	Naive and Random Walk models.
normal	Define a normal prior distribution

-- O --

Annual oil production in Saudi Arabia

-- P --

plot.varstan	plot methods for varstan models.
posterior_epred	Expected Values of the Posterior Predictive Distribution
posterior_epred.varstan	Expected Values of the Posterior Predictive Distribution
posterior_interval	Posterior uncertainty intervals
posterior_predict	Draw from posterior predictive h steps ahead distribution
posterior_predict.varstan	Draw from posterior predictive h steps ahead distribution
predictive_error	Out-of-sample predictive errors
predictive_error.varstan	Out-of-sample predictive errors
print.garch	Print a 'garch' model
print.Holt	Prints a Holt model.
print.Hw	Print a Holt-Winter model
print.LocalLevel	Print a Local Level model
print.naive	Print a 'naive' model
print.Sarima	Print a 'Sarima' model.
print.ssm	Print a state-space model.
print.SVM	Print a Stochastic Volatility model
print.varstan	Print a 'varstan' object
prior_summary	Generic function for extracting information about prior distributions
prior_summary.varstan	Generic function for extracting information about prior distributions

-- R --

report	Print a full report of the time series model in a 'varstan' object.
report.Bekk	Print a full report of the time series model in a 'varstan' object.
report.garch	Print a full report of the time series model in a 'varstan' object.
report.naive	Print a full report of the time series model in a 'varstan' object.
report.Sarima	Print a full report of the time series model in a 'varstan' object.
report.varma	Print a full report of the time series model in a 'varstan' object.
report.varstan	Print a full report of the time series model in a 'varstan' object.
residuals.varstan	Generic function and method for extract the residual of a 'varstan' object

-- S --

Sarima	Constructor a Multiplicative Seasonal ARIMA model.
set_prior	Set a prior distribution to a model parameter.
ssm	A constructor for a Additive linear State space model.
stan_garch	Fitting for a GARCH(s,k,h) model.
stan_Holt	Fitting an Holt state-space model.
stan_Hw	Fitting a Holt-Winters state-space model.
stan_LocalLevel	Fitting a Local level state-space model.
stan_naive	Naive and Random Walk models.
stan_sarima	Fitting a Multiplicative Seasonal ARIMA model.
stan_ssm	Fitting an Additive linear State space model.
stan_SVM	Fitting a Stochastic volatility model.
student	Define a t student prior distribution
summary.varstan	Summary method for a 'varstan' object
SVM	Constructor of an Stochastic volatility model object

-- U --

Define a uniform prior distribution

-- V --

Constructor of a 'varstan' object.

-- W --

waic	Widely Applicable Information Criterion (WAIC)
waic.varstan	Widely Applicable Information Criterion (WAIC)