Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) .


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install.packages("shrinkTVP")

1.0.1 by Peter Knaus, 3 days ago


Browse source code at https://github.com/cran/shrinkTVP


Authors: Peter Knaus [aut, cre] , Angela Bitto-Nemling [aut] , Annalisa Cadonna [aut] , Sylvia Frühwirth-Schnatter [aut] , Daniel Winkler [ctb] , Kemal Dingic [ctb]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, GIGrvg, stochvol, coda, methods, utils

Suggests testthat

Linking to Rcpp, RcppArmadillo, GIGrvg, RcppProgress, stochvol


See at CRAN