An implementation of a collection of tools for exact Bayesian inference with discrete times series. This package contains functions that can be used for prediction, model selection, estimation, and other statistical tasks. Specifically, the functions provided can be used for the exact computation of the prior predictive likelihood of the data, for the identification of the a posteriori most likely (MAP) variable-memory Markov models, for calculating the exact posterior probabilities and the AIC and BIC scores of these models, and for prediction with respect to log-loss and 0-1 loss. All the functions here (except generate_data) are implementations of deterministic algorithms that have linear complexity in the length of the input data. Example data sets from finance, genetics and animal communication are also provided. Detailed descriptions of the underlying theory and algorithms can be found in [Kontoyiannis et al. 'Bayesian Context Trees: Modelling and exact inference for discrete time series.' <arXiv:2007.14900> [stat.ME], July 2020].
Rcpp (>= 1.0.5), stringr, igraph, grDevices, graphics

An implementation of a collection of tools for exact Bayesian inference with discrete times series. This package contains functions that can be used for prediction, model selection, estimation, segmentation/change-point detection and other statistical tasks. Specifically, the functions provided can be used for the exact computation of the prior predictive likelihood of the data, for the identification of the a posteriori most likely (MAP) variable-memory Markov models, for calculating the exact posterior probabilities and the AIC and BIC scores of these models, for prediction with respect to log-loss and 0-1 loss and segmentation/change-point detection. Example data sets from finance, genetics, animal communication and meteorology are also provided. Detailed descriptions of the underlying theory and algorithms can be found in [Kontoyiannis et al. 'Bayesian Context Trees: Modelling and exact inference for discrete time series.' Journal of the Royal Statistical Society: Series B (Statistical Methodology), April 2022. Available at: <arXiv:2007.14900> [stat.ME], July 2020] and [Lungu et al. 'Change-point Detection and Segmentation of Discrete Data using Bayesian Context Trees' <arXiv:2203.04341> [stat.ME], March 2022].