yodel (Q7387553)
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A General Bayesian Model Averaging Helper
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | yodel |
A General Bayesian Model Averaging Helper |
Statements
Provides helper functions to perform Bayesian model averaging using Markov chain Monte Carlo samples from separate models. Calculates weights and obtains draws from the model-averaged posterior for quantities of interest specified by the user. Weight calculations can be done using marginal likelihoods or log-predictive likelihoods as in Ando, T., & Tsay, R. (2010) <doi:10.1016/j.ijforecast.2009.08.001>.
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16 April 2024
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