bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling
Tools to model and forecast multivariate time series including Bayesian Vector heterogeneous autoregressive (VHAR) model by Kim & Baek (2023) (<doi:10.1080/00949655.2023.2281644>). 'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.
| Version: | 2.1.0 |
| Depends: | R (≥ 3.6.0) |
| Imports: | lifecycle, magrittr, Rcpp, ggplot2, tidyr, tibble, dplyr, foreach, purrr, stats, optimParallel, posterior, bayesplot |
| LinkingTo: | BH (≥ 1.84.0-0), Rcpp, RcppEigen (≥ 0.3.4.0.0) |
| Suggests: | covr, GIGrvg, knitr, parallel, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2024-09-16 |
| DOI: | 10.32614/CRAN.package.bvhar |
| Author: | Young Geun Kim 
[aut, cre, cph],
Changryong Baek [ctb] |
| Maintainer: | Young Geun Kim <ygeunkimstat at gmail.com> |
| BugReports: | https://github.com/ygeunkim/bvhar/issues |
| License: | GPL (≥ 3) |
| URL: | https://ygeunkim.github.io/package/bvhar/, https://github.com/ygeunkim/bvhar |
| NeedsCompilation: | yes |
| Citation: | bvhar citation info |
| Materials: | README NEWS |
| CRAN checks: | bvhar results |
Documentation:
| Reference manual: | bvhar.pdf |
| Vignettes: |
Introduction to bvhar (source, R code) Forecasting (source, R code) Cpp source usage (source, R code) Minnesota Prior (source, R code) Bayesian VAR and VHAR Models (source, R code) Stochastic Volatility Models (source, R code) |
Downloads:
| Package source: | bvhar_2.1.0.tar.gz |
| Windows binaries: | r-devel: bvhar_2.1.0.zip, r-release: bvhar_2.0.1.zip, r-oldrel: bvhar_2.1.0.zip |
| macOS binaries: | r-release (arm64): bvhar_2.1.0.tgz, r-oldrel (arm64): bvhar_2.1.0.tgz, r-release (x86_64): bvhar_2.0.1.tgz, r-oldrel (x86_64): bvhar_2.0.1.tgz |
| Old sources: | bvhar archive |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=bvhar to link to this page.