Corpus ID: 218763614

varstan: An R package for Bayesian analysis of structured time series models with Stan

@article{Matamoros2020varstanAR,
  title={varstan: An R package for Bayesian analysis of structured time series models with Stan},
  author={Izhar Asael Alonzo Matamoros and Cristian Andr{\'e}s Cruz Torres},
  journal={arXiv: Computation},
  year={2020}
}
  • Izhar Asael Alonzo Matamoros, Cristian Andrés Cruz Torres
  • Published 2020
  • Mathematics
  • arXiv: Computation
  • varstan is an \proglang{R} package for Bayesian analysis of time series models using \proglang{Stan}. The package offers a dynamic way to choose a model, define priors in a wide range of distributions, check model's fit, and forecast with the m-steps ahead predictive distribution. The users can widely choose between implemented models such as \textit{multiplicative seasonal ARIMA, dynamic regression, random walks, GARCH, dynamic harmonic regressions,VARMA, stochastic Volatility Models, and… CONTINUE READING

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