bayesdfa - Bayesian Dynamic Factor Analysis (DFA) with 'Stan'

Implements Bayesian dynamic factor analysis with 'Stan'. Dynamic factor analysis is a dimension reduction tool for multivariate time series. 'bayesdfa' extends conventional dynamic factor models in several ways. First, extreme events may be estimated in the latent trend by modeling process error with a student-t distribution. Second, alternative constraints (including proportions are allowed). Third, the estimated dynamic factors can be analyzed with hidden Markov models to evaluate support for latent regimes.

Last updated 1 months ago

8.56 score 28 stars 99 scripts 1.0k downloads

zoid - Bayesian Zero-and-One Inflated Dirichlet Regression Modelling

Fits Dirichlet regression and zero-and-one inflated Dirichlet regression with Bayesian methods implemented in Stan. These models are sometimes referred to as trinomial mixture models; covariates and overdispersion can optionally be included.

Last updated 7 months ago

mixture-modelsnwfsc-cbstan

6.66 score 8 stars 12 scripts 156 downloads

atsar - Stan Routines For Univariate And Multivariate Time Series

Bundles univariate and multivariate STAN scripts for FISH 507 class.

Last updated 5 months ago

bayesianstantime-series

5.69 score 49 stars 33 scripts

tvvarss - Time Varying Vector Autoregressive State Space Models

The tvvarss package uses Stan (mc-stan.org) to fit multi-site multivariate autoregressive (aka vector autoregressive) state space models with a time varying interaction matrix.

Last updated 3 years ago

bayesianmultivariate-timeseriesstate-spacetime-series

4.04 score 10 stars 11 scripts

mvdlm - Multivariate Dynamic Linear Modelling With Stan

Fits multivariate dynamic linear models in a Bayesian framework using Stan.

Last updated 5 months ago

bayesiandlmstantime-series

3.18 score 1 stars 3 scripts

varlasso - Vector Autoregressive State Space Models With Shrinkage

The varlasso package uses Stan (mc-stan.org) to fit VAR state space models with optional shrinkage priors on B matrix elements (autoregression coefficients).

Last updated 2 years ago

bayesianmultivariate-timeseriestime-series

3.00 score 2 stars 2 scripts