vector-autoregression

{mvgam} R 📦 to fit Dynamic Bayesian Generalized Additive Models for multivariate modeling and forecasting

Spatiotemporal datasets collected for network science, deep learning and general machine learning research.

Bayesian Estimation of Structural Vector Autoregressive Models

MATLAB library for large Bayesian VARs: samplers, shrinkage priors, stochastic volatility, marginal likelihoods and forecasting, with examples, tutorials and the replication packages from joshuachan.org.

Time Series Forecasting for the M5 Competition

Ecological forecasting using Dynamic Generalized Additive Models with R 📦's {mvgam} and {brms}

Remaining useful life estimation of NASA turbofan jet engines using data driven approaches which include regression models, LSTM neural networks and hybrid model which is combination of VAR with LSTM

Functions for Bayesian inference of vector autoregressive and vector error correction models

Bayesian SVARs with Sign, Zero, and Narrative Restrictions

Bayesian VAR and SVAR models in Python.

State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and forecast error variance decomposition.

Sentiment analysis of Reddit comments to predict bitcoin price movement

Conditional Forecasting and Scenario Analysis Using VAR Models (R package)

Sample chapters and code (MATLAB, R, Python) for 'Bayesian Macroeconometrics: Methods and Applications' by Joshua Chan (Chapman & Hall/CRC, forthcoming)

Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series

Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting

Forecasting exchange rates by using commodities prices

Utilized sentiment-based features to predict cryptocurrency returns, models used: Random Forest Classifier, Random Forest Regressor, and VAR time-series model

Causal weights for macroeconomic shocks

Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020