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.]