Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic Volatility

Documentation for package ‘bayesianOU’ version 0.1.3

build_accounting_block	Build accounting block for TMG
build_beta_tmg_table	Build beta(TMG_t) table by sector and time
compare_models_loo	Compare models using PSIS-LOO
count_divergences	Count HMC divergences
drift_decomposition_grid	Drift decomposition over grid
evaluate_oos	Evaluate out-of-sample forecast metrics
export_model_comparison	Export model comparison to Excel
extract_convergence_evidence	Extract convergence evidence for kappa parameters
extract_posterior_summary	Extract posterior summary from fitted model
fit_ou_nonlinear_tmg	Fit Bayesian nonlinear OU model with TMG effect and SV
ou_nonlinear_tmg_stan_code	Stan code for nonlinear OU model with SV and Student-t
plot_beta_tmg	Plot beta(TMG_t) evolution by sector
plot_drift_curves	Plot cubic OU drift curves
plot_sv_evolution	Plot stochastic volatility evolution
summarize_sv_sigmas	Summarize stochastic volatility sigmas
validate_ou_fit	Validate OU model fit
zscore_train	Z-score standardization using training period statistics