BayesianDisaggregation: Evidence-Based Bayesian Disaggregation of Aggregate Indices
Disaggregates an observed aggregate price index into sectoral
components with a Bayesian state-space model in which the aggregate enters as
a genuine observation density rather than as a renormalization identity. A
random-walk-with-drift transition in log space (with partial pooling on the
drift and the innovation scale) and an estimable cross-sectional
concentration produce posterior draws of the sectoral indices with credible
intervals, suitable as multiple-imputation input for downstream dynamic
models. The Hamiltonian Monte Carlo engine follows Stan (Carpenter et al.,
2017) <doi:10.18637/jss.v076.i01>; model comparison uses Pareto Smoothed
Importance Sampling Leave-One-Out cross-validation (Vehtari, Gelman and
Gabry, 2017) <doi:10.1007/s11222-016-9696-4>. A closed-form linear-Gaussian
Kalman/RTS smoother provides an exact, MCMC-free Bayesian alternative for the
same aggregate evidence.
| Version: |
0.2.1 |
| Depends: |
R (≥ 4.1.0) |
| Imports: |
readxl, dplyr, tidyr, stringr, magrittr, stats, parallel |
| Suggests: |
cmdstanr, rstan (≥ 2.21.0), posterior, loo (≥ 2.5.0), knitr, rmarkdown, ggplot2, readr, testthat (≥ 3.0.0) |
| Published: |
2026-06-18 |
| DOI: |
10.32614/CRAN.package.BayesianDisaggregation |
| Author: |
José Mauricio Gómez Julián
 [aut, cre] |
| Maintainer: |
José Mauricio Gómez Julián <isadore.nabi at pm.me> |
| License: |
MIT + file LICENSE |
| NeedsCompilation: |
no |
| Additional_repositories: |
https://mc-stan.org/r-packages/ |
| Materials: |
NEWS |
| CRAN checks: |
BayesianDisaggregation results |
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