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Revision as of 17:00, 4 March 2024
Bayesian Generalized Linear Models with Time-Varying Coefficients
Language | Label | Description | Also known as |
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English | walker |
Bayesian Generalized Linear Models with Time-Varying Coefficients |
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11 September 2023
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Efficient Bayesian generalized linear models with time-varying coefficients as in Helske (2022, <doi:10.1016/j.softx.2022.101016>). Gaussian, Poisson, and binomial observations are supported. The Markov chain Monte Carlo (MCMC) computations are done using Hamiltonian Monte Carlo provided by Stan, using a state space representation of the model in order to marginalise over the coefficients for efficient sampling. For non-Gaussian models, the package uses the importance sampling type estimators based on approximate marginal MCMC as in Vihola, Helske, Franks (2020, <doi:10.1111/sjos.12492>).
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