The tsbugs package for R

Guy Abel

Posted on January 15, 2013

My tsbugs package has gone up on CRAN. The functions in the tsbugs package are aimed to automate the writing of time series models to run in WinBUGS (Lunn et al., 2000) or OpenBUGS (Lunn et al., 2009). I created these  functions a while back when I was doing some work on model averaging for time series models. I found it a lot easier to build R functions to write the BUGS models than the more error-inducing process of copy and pasting BUGS scripts, and then making slight alterations to create new models. It also allowed me to add arguments to specify different lag lengths, prior distributions, variance assumptions and data lengths. I decided not to write a vignette for CRAN, as it would have involved doing some estimation in BUGS via R2WinBUGS or R2OpenBUGS and running into some problems when submitted the package. Instead I thought I would post a quick guide here.
Autoregressive Models