BayesianDisaggregation
0.2.1Evidence-Based Bayesian Disaggregation of Aggregate Indices
Overview
Disaggregates an observed aggregate price index into sectoral components with a Bayesian state-space model in which the aggregate enters as a genuine observation density rather than as a renormalization identity. A random-walk-with-drift transition in log space (with partial pooling on the drift and the innovation scale) and an estimable cross-sectional concentration produce posterior draws of the sectoral indices with credible intervals, suitable as multiple-imputation input for downstream dynamic models. The Hamiltonian Monte Carlo engine follows Stan (Carpenter et al., 2017) doi:10.18637/jss.v076.i01; model comparison uses Pareto Smoothed Importance Sampling Leave-One-Out cross-validation (Vehtari, Gelman and Gabry, 2017) doi:10.1007/s11222-016-9696-4. A closed-form linear-Gaussian Kalman/RTS smoother provides an exact, MCMC-free Bayesian alternative for the same aggregate evidence.
Install
Health
- OK2026-08-0513 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- NOTE2026-08-0112 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- OK2026-03-1014 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
Documentation
- Examples that run
- 71%
- Documented parameters
- 90%
- Return-value docs
- 100%
- References docs
- 0%
Downloads
Dependencies
Code & Tests
People & History
2 releases. Pick two to compare their code metrics. R releases are shown for context.
- 0.2.1Latest
- RR 4.6.0 released · 2026-04-24
- 0.1.22026-03-10
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2025-10-16
- Total releases
- 2 / 1 yrs
- License
- MIT + file LICENSE OSI
- Additional repositories
- mc-stan.org
- Minimum R
- ≥ 4.1.0
- Download size
- 59 KB
- Installed size
- not tracked yet
- With dependencies
- not tracked yet
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