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Provides helper functions to perform Bayesian model averaging using Markov chain Monte Carlo samples from separate models. Calculates weights and obtains draws from the model-averaged posterior for quantities of interest specified by the user. Weight calculations can be done using marginal likelihoods or log-predictive likelihoods as in Ando, T., & Tsay, R. (2010) doi:10.1016/j.ijforecast.2009.08.001.
github.com/rich-payne/yodel |
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