Fits a Bayesian regression on a 'tidyFit' R6 class. The function can be used with regress and classify.
Details
Hyperparameters:
None. Cross validation not applicable.
Important method arguments (passed to m)
The function provides a wrapper for arm::bayesglm. See ?bayesglm for more details.
Implementation
No implementation notes
References
Gelman A, Su Y (2021). arm: Data Analysis Using Regression and Multilevel/Hierarchical Models. R package version 1.12-2, https://CRAN.R-project.org/package=arm.
Examples
# Load data
data <- tidyfit::Factor_Industry_Returns
# Stand-alone function
fit <- m("bayes", Return ~ ., data)
fit
#> # A tibble: 1 × 6
#> estimator_fct `size (MB)` grid_id model_object settings warnings
#> <chr> <dbl> <chr> <list> <list> <chr>
#> 1 arm::bayesglm 5.62 #0010000 <tidyFit> <tibble> variable 'Indu…
# Within 'regress' function
fit <- regress(data, Return ~ ., m("bayes"), .mask = c("Date", "Industry"))
coef(fit)
#> Warning: The `tidy()` method for objects of class `bayesglm` is not maintained by the broom team, and is only supported through the `glm` tidier method. Please be cautious in interpreting and reporting broom output.
#>
#> This warning is displayed once per session.
#> # A tibble: 7 × 4
#> # Groups: model [1]
#> model term estimate model_info
#> <chr> <chr> <dbl> <list>
#> 1 bayes (Intercept) -0.0312 <tibble [1 × 3]>
#> 2 bayes Mkt-RF 0.977 <tibble [1 × 3]>
#> 3 bayes SMB 0.0182 <tibble [1 × 3]>
#> 4 bayes HML 0.0605 <tibble [1 × 3]>
#> 5 bayes RMW 0.164 <tibble [1 × 3]>
#> 6 bayes CMA 0.117 <tibble [1 × 3]>
#> 7 bayes RF 1.00 <tibble [1 × 3]>