yodel

MaRDI QIDQ7387553CRANFDO

Authors Richard Daniel Payne

Last update 16 April 2024

Copyright license MIT license, File License

Software version identifier 1.0.0

Description

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>.

Cites work

• Predictive likelihood for Bayesian model selection and averaging

Cited in

(1)

• beaver

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