bvhar

Bayesian Vector Heterogeneous Autoregressive Modeling

CRAN Package

Tools to model and forecast multivariate time series including Bayesian Vector heterogeneous autoregressive (VHAR) model by Kim & Baek (2023) (doi:10.1080/00949655.2023.2281644). 'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.


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  • Imports12 packages
  • Suggests5 packages
  • Linking To3 packages