bmgarch() now accepts
backend = "cmdstanr" in addition to the default
"rstan". Both MCMC (NUTS) and variational Bayes
(sampling_algorithm = "VB") are supported with the new
backend.
summary(), print(),
plot(), forecast(), fitted(),
loo(), and model_weights() all work with
cmdstanr-fitted objects.
Stan function a_b_scale_jacobian renamed to
a_b_scale_log_jac to avoid a future name collision with
Stan 2.39’s reserved _jacobian suffix (affects
inst/stan/functions/jacobian.stan).
The iterations argument now defaults to
2000 for MCMC and 30000 for VB when left
unspecified. Previously the single default of 2000 was too
low for ADVI gradient ascent.
The backend field is stored in every
bmgarch object so that loo() refits and other
operations that call back into bmgarch() automatically use
the same backend.
Threading defaults: cmdstanr models compiled with
stan_threads = TRUE now default to
threads_per_chain = 1 (MCMC) and threads = 1
(VB). Users can override via ....
Fixed ensemble covariance underestimation in
.weighted_samples(). The between-model variance term
required by the law of total variance,
Σ_m w_m (μ̂_m − μ̂_mix)(μ̂_m − μ̂_mix)ᵀ, is now added to the
weighted combination of H and H_forecasted.
This corrects the ensemble posterior predictive covariance for both
backcasts and forecasts whenever models with differing mean structures
are combined. The fix is a no-op for single-model objects.
model_weights() and loo() now work with
cmdstanr objects: log_lik extraction and chain/iteration
metadata no longer rely on rstan S4 slot access
(@sim).
Weighted forecasts (forecast(..., weights = mw)) now
work with cmdstanr backends via a new .extract_param_list()
helper that replicates rstan::extract() output for cmdstanr
draw objects.
Forecast draws passed to rstan::gqs() are now
correctly extracted via posterior::as_draws_matrix() for
cmdstanr fits, fixing a “no dimnames” error.
tests/testthat/test-backends.R covering
summary, forecast, and
model_weights for all three combinations: rstan/MCMC,
cmdstanr/MCMC, and cmdstanr/VB on a CCC model.rstan 2.26.0 array syntax.VAR argument for a
VAR(1) model.VB as a sampling algorithm
option. bmgarch now takes VB and the standard
MCMC argument in sampling_algorithm. VB is
inherited from rstan and is still experimental - use with
caution.loo function now takes m-ahead argument
for the “backward” approximation allowing one to tune the forcast to
arbitrary steps ahead.
Fixed package dependency versions.
Initial CRAN release