R-CMD-check cran version downloads Project Status: Inactive – The project has reached a stable, usable state but is no longer being actively developed; support/maintenance will be provided as time allows.

walker: Bayesian Generalized Linear Models with Time-Varying Coefficients

The R package walker provides a method for fully Bayesian generalized linear regression where the regression coefficients are allowed to vary over time as a first or second order integrated random walk.

The Markov chain Monte Carlo (MCMC) algorithm uses Hamiltonian Monte Carlo provided by Stan, using a state space representation of the model in order to marginalise over the coefficients for accurate and efficient sampling. For non-Gaussian models the MCMC targets approximate marginal posterior based on Gaussian approximation, which is then corrected using importance sampling as in Vihola, Helske, Franks (2020).

See the corresponding paper in SoftwareX for short introduction, and the package vignette and documentation manual for details and further examples.

You can download the development version of walker from Github using the devtools package:

devtools::install_github("helske/walker")

NEWS

28.8.2024, version 1.0.10

28.8.2024, version 1.0.9

11.9.2023, version 1.0.8

25.7.2023, version 1.0.7

13.10.2022, version 1.0.6

10.7.2022, version 1.0.5

3.3.2022, version 1.0.4

24.9.2021, version 1.0.3-1

16.8.2021

6.4.2021

27.1.2021

25.1.2021

3.11.2020

19.10.2020

13.8.2020

19.5.2020

12.5.2020

23.1.2020

20.9.2019

04.03.2019

25.02.2019

14.02.2019

8.11.2018

22.10.2018

15.10.2018