Bayesian Nonlinear Ornstein-Uhlenbeck Models with Stochastic Volatility

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Documentation for package ‘bayesianOU’ version 0.2.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

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
evaluate_oos_nested	Out-of-sample forecast metrics for the 2-level nested model
export_model_comparison	Export model comparison to Excel
extract_convergence_evidence	Mean-reversion (dynamic stability) evidence for kappa parameters
extract_mu_trajectory	Latent Level-2 mean trajectory mu_t = m0_s + m1 * G'_t
extract_posterior_summary	Extract posterior summary from fitted model
fit_ou_nested	Fit the unified nonlinear OU model: single-level or 2-level nested
fit_ou_nested_mi	Fit the nested OU model under multiple imputation of the market price
fit_ou_nonlinear_tmg	Fit Bayesian nonlinear OU model with TMG effect and SV (single-level)
kappa_stability_evidence	Mean-reversion (dynamic stability) evidence for kappa parameters
ou_geom_bridge	Bridge a methods-enabled cmdstan model to the geometry engine
ou_geom_hmc	Static Hamiltonian Monte Carlo with a pluggable geometry
ou_geom_metric_euclidean	Euclidean (constant) metric for the geometry engine
ou_geom_metric_riemannian	Riemannian (position-dependent) metric for the geometry engine
ou_geom_target	Build a geometry-engine sampling target
ou_level_spec	Named per-level richness configurations for the comparative experiment
ou_nested_stan_code	Stan code for the unified nonlinear OU model
plot.ou_nested_2level	Plot a 2-level nested OU fit
plot.ou_nested_mi	Plot a multiple-imputation nested OU fit
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
print.ou_nested_2level	Print a 2-level nested OU fit
print.ou_nested_mi	Print a multiple-imputation nested OU fit
print.summary.ou_nested_2level	Summarize a 2-level nested OU fit
print.summary.ou_nested_mi	Summarize a multiple-imputation nested OU fit
summarize_sv_sigmas	Summarize stochastic volatility sigmas
summary.ou_nested_2level	Summarize a 2-level nested OU fit
summary.ou_nested_mi	Summarize a multiple-imputation nested OU fit
validate_ou_fit	Validate OU model fit
zscore_train	Z-score standardization using training period statistics