Supporting code for the paper "The ARR2 prior: flexible predictive prior definition for Bayesian auto-regressions" by David Kohns, Noa Kallioinen, Yann McLatchie and Aki Vehtari. Preprint available on arXiv.
See the examples folder for Stan and R code examples.
Experiments are written in R and Stan and uses snakemake to run.
To run the experiments, enter the snakemake directory and run a rule such as:
snakemake ar_estim_all # AR estimation experiments
snakemake ar_lfo_all # AR predictive performance experiments
snakemake arx_estim_all # ARX estimation experiments
snakemake arx_lfo_all # ARX predictive performance experiments
snakemake ltx_estim_all # LTX estimation experiments
snakemake ltx_lfo_all # LTX predictive performance experiments