{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for time series analysis and forecasting
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Updated
Jul 19, 2024 - R
{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for time series analysis and forecasting
Developing an R package for Bayesian Structural VARs identified by zero, sign, and narrative restrictions
Bayesian Estimation of Structural Vector Autoregressive Models
An R package to model Bayesian VAR and VHAR models
Cambridge UK temperature forecast python notebooks
Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.
Ecological forecasting using Dynamic Generalized Additive Models with R 📦's {mvgam} and {brms}
Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.
Toolkit functions and example outputs for Bayesian (Structural) Vector Autoregressive (VAR) models
Julia implementation of multi-variate time series models, such as vector autoregressive (VAR) and vector error correction (VECM) models.
Spatiotemporal datasets collected for network science, deep learning and general machine learning research.
Regularized estimation of high-dimensional FAVAR models
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
Building a vector autoregressive model with R. My coursework for the course Time Series Analysis II (offered by University of Helsinki's Master's Programme in Mathematics and Statistics), spring 2020.
Functions for Bayesian inference of vector autoregressive and vector error correction models
Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”
Codes for BVHAR Research
Research project: Could Interest Rate Hikes Burst The Housing Bubble?
Research project: The Impact of Uncertainty on Monetary Transmission - Evidence from the US
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