Alexandria

版本 2.01 (971.1 KB) 作者: Romain Legrand
A software for Bayesian time-series econometrics applications
0.0
(0)
20.0 次下载
更新时间 2025/9/30

查看许可证

Alexandria is a Python package for Bayesian time-series econometrics applications.
This is version 2.0, which includes Bayesian regression, Bayesian vector autoregression, and Bayesian VEC/VARMA models.
Alexandria offers a range of Bayesian linear regression models:
  • maximum likelihood / OLS regression (non-Bayesian)
  • simple Bayesian regression
  • hierarchical (natural conjugate) Bayesian regression
  • independent Bayesian regression with Gibbs sampling
  • heteroscedastic Bayesian regression
  • autocorrelated Bayesian regression
Alexandria also offers a large number of Bayesian vector autoregression models and applications:
  • maximum likelihood (OLS) VAR
  • Litterman Minnesota prior
  • normal-Wishart prior
  • independent prior with Gibbs sampling
  • dummy observation prior
  • large Bayeisian VAR prior
  • Bayesian proxy-SVAR
prior customization:
  • constrained coefficients
  • dummy extensions (sums-of-coefficients, initial observation,long-run prior)
  • stationary priors
  • hyperparameter optimization from marginal likelihood
structural identification:
  • Cholesky
  • triangular factorization
  • restrictions: sign and zero restrictions on IRFs, narrative on shocks and historical decomposition
applications:
  • forecasts
  • impulse response function
  • forecast error variance decomposition
  • historical decomposition
  • conditional forecasts (agnostic and sctructural approaches, allowing for hard and soft conditions)
The current version includes Bayesian VEC and VARMA models, along with many applications:
  • Bayesian VEC: uninformative, horseshoe and selection priors; general and reduced-rank approaches
  • Bayesian VARMA: Minnesota prior on autoegressive and lag coefficients; residuals estimated from Bayesian state-space modelling
  • structural identification and applications are the same as the Bayesian VAR models

引用格式

Romain Legrand (2025). Alexandria (https://ww2.mathworks.cn/matlabcentral/fileexchange/181159-alexandria), MATLAB Central File Exchange. 检索时间: .

MATLAB 版本兼容性
创建方式 R2025a
兼容任何版本
平台兼容性
Windows macOS Linux
标签 添加标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

alexandria/console

alexandria/datasets

alexandria/graphics

alexandria/interface

alexandria/linear_regression

alexandria/math

alexandria/optimization

alexandria/processor

alexandria/results

alexandria/state_space

alexandria/vec_varma

alexandria/vector_autoregression

版本 已发布 发行说明
2.01

fixed minor data loading issue for restriction file with narrative sign restrictions
2.0

Now introducing Bayesian VEC (vector error correction) and Bayesian VARMA (vector autoregressive moving average).
1.04

updated structural conditional forecasts
1.03

Updated structural conditional forecasts
1.02

updated structural conditional forecasts
1.01

fix for minor bug
1.0