shrinkTVP

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) .

News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.
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

R links

R homepage

Download R

Mailing lists

R documentation

R manuals

R FAQs

The R Journal

CRAN links

CRAN homepage

CRAN repository policy

Submit a package

METACRAN stuff

About METACRAN

At github

Report a bug