bsts - Bayesian Structural Time Series
Time series regression using dynamic linear models fit using MCMC. See Scott and Varian (2014) <DOI:10.1504/IJMMNO.2014.059942>, among many other sources.
Last updated 1 years ago
cpp
6.48 score 32 stars 3 dependents 338 scripts 6.2k downloadsBoomSpikeSlab - MCMC for Spike and Slab Regression
Spike and slab regression with a variety of residual error distributions corresponding to Gaussian, Student T, probit, logit, SVM, and a few others. Spike and slab regression is Bayesian regression with prior distributions containing a point mass at zero. The posterior updates the amount of mass on this point, leading to a posterior distribution that is actually sparse, in the sense that if you sample from it many coefficients are actually zeros. Sampling from this posterior distribution is an elegant way to handle Bayesian variable selection and model averaging. See <DOI:10.1504/IJMMNO.2014.059942> for an explanation of the Gaussian case.
Last updated 1 years ago
cpp
5.41 score 6 stars 5 dependents 95 scripts 6.1k downloadsBoom - Bayesian Object Oriented Modeling
A C++ library for Bayesian modeling, with an emphasis on Markov chain Monte Carlo. Although boom contains a few R utilities (mainly plotting functions), its primary purpose is to install the BOOM C++ library on your system so that other packages can link against it.
Last updated 1 years ago
4.76 score 9 stars 6 dependents 57 scripts 6.2k downloads