Michael Ziedalski writes:

For the past few months I have been delving into Bayesian statistics and have (without hyperbole) finally found statistics intuitive and exciting. Recently I have gone into Bayesian time series methods; however, I have found no libraries to use that can implement those models.

Happily, I found Stan because it seemed among the most mature and flexible Bayesian libraries around, but is there any guide/book you could recommend me for approaching state space models through Stan? I am referring to more complex models, such as those found in State-Space Models, by Zeng and Wu, as well as Bayesian Analysis of Stochastic Process Models, by Insua et al. Most advanced books seem to use WinBUGS, but that library is closed-source and a bit older.

I replied that he should you post his question on the Stan mailing list and also look at the example models and case studies for Stan.

I also passed the question on to Jim Savage, who added:

Stan’s great for time series, though mostly because it just allows you to flexibly write down whatever likelihood you want and put very flexible priors on everything, then fits it swiftly with a modern sampler and lets you do diagnoses that are difficult/impossible elsewhere!

Jeff Arnold has a fairly complete set of implementations for state-space models in Stan here. I’ve also got some more introductory blog posts that might help you get your head around writing out some time-series models in Stan. Here’s one on hierarchical VAR models. Here’s another on Hamilton-style regime-switching models. I’ve got a half-written tutorial on state-space models that I’ll come back to when I’m writing the time-series chapter in our Bayesian econometrics in Stan book.

One of the really nice things about Stan is that you can write out your state as parameters. Because Stan can efficiently sample from parameter spaces with hundreds of thousands of dimensions (if a bit slowly), this is fine. It’ll just be slower than a standard Kalman filter. It also changes the interpretation of the state estimate somewhat (more akin to a Kalman smoother, given you use all observations to fit the state).

Here’s an example of such a model.

Actually that last model had some problems with the between-state correlations, but I guess it’s still a good example of how to put something together in Markdown.