Description
Evidence-Based Bayesian Disaggregation of Aggregate Indices.
Description
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.
README.md
Example Data Files for BayesianDisaggregation
This directory contains example data files for testing and demonstration:
CPI.xlsx
- Annual Consumer Price Index data (2019-2023)
- Contains aggregate index (Total) and component indices
- Categories: Food, Housing, Transport, Healthcare, Education, Recreation, Other
- Base year: 2019 (index = 100)
WEIGHTS.xlsx
- Industry weights matrix for CPI components
- Rows: Industries/Categories
- Columns: Years (2019-2023)
- Each year's weights sum to 1.0
- Format: Industry | 2019 | 2020 | 2021 | 2022 | 2023
These are minimal example files for package testing and documentation. For real analysis, users should provide their own data files with appropriate structure.