Package: BCT 1.2

BCT: Bayesian Context Trees for Discrete Time Series

An implementation of a collection of tools for exact Bayesian inference with discrete times series. This package contains functions that can be used for prediction, model selection, estimation, segmentation/change-point detection and other statistical tasks. Specifically, the functions provided can be used for the exact computation of the prior predictive likelihood of the data, for the identification of the a posteriori most likely (MAP) variable-memory Markov models, for calculating the exact posterior probabilities and the AIC and BIC scores of these models, for prediction with respect to log-loss and 0-1 loss and segmentation/change-point detection. Example data sets from finance, genetics, animal communication and meteorology are also provided. Detailed descriptions of the underlying theory and algorithms can be found in [Kontoyiannis et al. 'Bayesian Context Trees: Modelling and exact inference for discrete time series.' Journal of the Royal Statistical Society: Series B (Statistical Methodology), April 2022. Available at: <arxiv:2007.14900> [stat.ME], July 2020] and [Lungu et al. 'Change-point Detection and Segmentation of Discrete Data using Bayesian Context Trees' <arxiv:2203.04341> [stat.ME], March 2022].

Authors:Ioannis Papageorgiou, Valentinian Mihai Lungu, Ioannis Kontoyiannis

BCT_1.2.tar.gz
BCT_1.2.zip(r-4.5)BCT_1.2.zip(r-4.4)BCT_1.2.zip(r-4.3)
BCT_1.2.tgz(r-4.4-x86_64)BCT_1.2.tgz(r-4.4-arm64)BCT_1.2.tgz(r-4.3-x86_64)BCT_1.2.tgz(r-4.3-arm64)
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BCT.pdf |BCT.html✨
BCT/json (API)

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17 exports 4.79 score 14 dependencies 51 mentions 289 downloads

Last updated 2 years agofrom:23e2247068. Checks:OK: 1 NOTE: 8. Indexed: yes.

Exports:BCTcalculate_exact_changepoint_posteriorcompute_countsCTWdraw_modelsgenerate_datainfer_fixed_changepointsinfer_unknown_changepointskBCTlog_lossMAP_parametersMLplot_changepoint_posteriorplot_individual_changepoint_posteriorpredictionshow_treezero_one_loss

Dependencies:clicpp11glueigraphlatticelifecyclemagrittrMatrixpkgconfigRcpprlangstringistringrvctrs