walker

swMATH35066CRANwalkerMaRDI QIDQ46775

Bayesian Generalized Linear Models with Time-Varying Coefficients

Jouni Helske

Last update: 11 September 2023

Copyright license: GNU General Public License

Software version identifier: 1.0.6-1, 0.1.0, 0.2.0, 0.2.1, 0.2.2, 0.2.3-1, 0.2.3, 0.2.4-1, 0.2.4, 0.2.5, 0.3.0, 0.3.1-1, 0.4.0, 0.4.1-3, 0.5.0, 1.0.1-1, 1.0.1, 1.0.2, 1.0.3-1, 1.0.3, 1.0.4, 1.0.7, 1.0.8

Source code repository: https://github.com/cran/walker

Description

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>).

Cites work

• Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo
• Efficient Bayesian generalized linear models with time-varying coefficients: The walker package in R

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