[FR] Time series models that could be cool

paul-buerkner / brms

brms R package for Bayesian generalized multivariate non-linear multilevel models using Stan

https://paul-buerkner.github.io/brms/

GNU General Public License v2.0

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Open SteveBronder opened 4 years ago

SteveBronder commented 4 years ago

[ ] Garch and it's simpler variants like (GJR-Garch, APARCH, AGARCH, EGARCH) etc
[ ] Fractional differencing models
[ ] Exponential Smoothing Models
[ ] bats and tbats (though they are v similar to bsts)

I wonder if there is some way to do this more generically, like exposing err and sigma_err?

paul-buerkner commented 4 years ago

Thanks for these suggestions! Can you explain what you mean exactly by exposing err and sigma_err in this context?