codatmo/stanIncrementalImportanceSampling: Provides Functionality for Calculating Importance Weights for Stan MCMC Samples

Using a previously fitted Stan model with MCMC samples and a new set of input data, calculates per-iteration importance weights for the original MCMC samples conditional on the new data. For example, a time series model is fitted using Stan, up to day 99. Data up to day 100 is then made available and importance weights for the MCMC samples from day 99 given the new data can be calculated.

install.packages("remotes")
remotes::install_github("codatmo/stanIncrementalImportanceSampling")