R-universe - steve-the-bayesian (steve-the-bayesian)

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.

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cpp

6.62 score 34 stars 7 dependents 408 scripts 2.9k downloads

BoomSpikeSlab - 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.

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cpp

5.43 score 6 stars 9 dependents 122 scripts 2.8k downloads

Boom - 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.

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4.81 score 9 stars 10 dependents 66 scripts 3.6k downloads