Time Series Models

AR(1) Model

Stan

data {
  int<lower=0> T;
  vector[T] y;
}
parameters {
  real mu;
  real<lower=-1, upper=1> phi;  // Stationarity
  real<lower=0> sigma;
}
model {
  mu ~ normal(0, 10);
  phi ~ uniform(-1, 1);
  sigma ~ exponential(1);

  // Stationary initial distribution
  y[1] ~ normal(mu, sigma / sqrt(1 - phi^2));

  // AR(1) likelihood
  for (t in 2:T)
    y[t] ~ normal(mu + phi * (y[t-1] - mu), sigma);
}

Vectorized Stan (Efficient)

mod

[Description truncada. Veja o README completo no GitHub.]