bayesforecast: Bayesian Time Series Modeling with Stan

Fit Bayesian time series models using 'Stan' for full Bayesian inference. A wide range of distributions and models are supported, allowing users to fit Seasonal ARIMA, ARIMAX, Dynamic Harmonic Regression, GARCH, t-student innovation GARCH models, asymmetric GARCH, Random Walks, stochastic volatility models for univariate time series. Prior specifications are flexible and explicitly encourage users to apply prior distributions that actually reflect their beliefs. Model fit can easily be assessed and compared with typical visualization methods, information criteria such as loglik, AIC, BIC WAIC, Bayes factor and leave-one-out cross-validation methods. References: Hyndman (2017) <doi:10.18637/jss.v027.i03>; Carpenter et al. (2017) <doi:10.18637/jss.v076.i01>.

Version: 1.0.1
Depends: R (≥ 4.0.0)
Imports: bayesplot (≥ 1.5.0), methods, gridExtra, ggplot2, forecast, loo (≥ 2.2.0), Rcpp (≥ 0.12.0), rstan (≥ 2.18.1), rstantools (≥ 2.0.0), RcppParallel (≥ 5.0.1), bridgesampling (≥ 0.3-0), MASS, StanHeaders, astsa, lubridate, prophet, zoo
LinkingTo: BH (≥ 1.66.0), Rcpp (≥ 0.12.0), RcppParallel (≥ 5.0.1), RcppEigen (≥, rstan (≥ 2.18.1), StanHeaders (≥ 2.18.0)
Suggests: knitr, rmarkdown, ggfortify
Published: 2021-06-17
DOI: 10.32614/CRAN.package.bayesforecast
Author: Asael Alonzo Matamoros [aut, cre], Cristian Cruz Torres [aut], Andres Dala [ctb], Rob Hyndman [ctb], Mitchell O'Hara-Wild [ctb]
Maintainer: Asael Alonzo Matamoros <asael.alonzo at>
License: GPL-2
NeedsCompilation: yes
SystemRequirements: GNU make
Citation: bayesforecast citation info
Materials: README NEWS
In views: Bayesian, TimeSeries
CRAN checks: bayesforecast results


Reference manual: bayesforecast.pdf
Vignettes: Estimating ARIMA Models
Estimating GARCH Models


Package source: bayesforecast_1.0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): bayesforecast_1.0.1.tgz, r-oldrel (arm64): bayesforecast_1.0.1.tgz, r-release (x86_64): bayesforecast_1.0.1.tgz, r-oldrel (x86_64): bayesforecast_1.0.1.tgz
Old sources: bayesforecast archive


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