rstan-changepoint.R

rstan-changepoint.R

# this installs the stand compiler and R bindings
install.packages("rstan")

library(rstan)

# Generate sample data
x1 <- rnorm(41, mean=15, sd=1.5)
x2 <- rnorm(79, mean=17, sd=1.1)
x <- c(x1, x2)

# fit a stan model
# changepoint.stan can be obtained from https://github.com/gmodena/bayesian-changepoint/blob/master/changepoint.stan
fit <- stan(
    file = "changepoint.stan",  
    data = list(D = x, N=length(x)),    
    chains = 4,             
    warmup = 1000,          
    iter = 10000,            
    cores = 4,              
    refresh = 500          
)

print(fit)