Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors, both dynamic and static. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006> and Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus and Frühwirth-Schnatter (2023) <doi:10.48550/arXiv.2312.10487>. For details on the package, please see Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.
Version: | 3.0.1 |
Depends: | R (≥ 3.3.0) |
Imports: | Rcpp, GIGrvg, stochvol (≥ 3.0.3), coda, methods, utils, zoo |
LinkingTo: | Rcpp, RcppArmadillo, GIGrvg, RcppProgress, stochvol, RcppGSL |
Suggests: | testthat, knitr, rmarkdown, R.rsp |
Published: | 2024-02-18 |
DOI: | 10.32614/CRAN.package.shrinkTVP |
Author: | Peter Knaus |
Maintainer: | Peter Knaus <peter.knaus at wu.ac.at> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | yes |
Citation: | shrinkTVP citation info |
Materials: | NEWS |
In views: | Bayesian |
CRAN checks: | shrinkTVP results |
Reference manual: | shrinkTVP.pdf |
Vignettes: |
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP |
Package source: | shrinkTVP_3.0.1.tar.gz |
Windows binaries: | r-devel: shrinkTVP_3.0.1.zip, r-release: shrinkTVP_3.0.1.zip, r-oldrel: shrinkTVP_3.0.1.zip |
macOS binaries: | r-devel (arm64): shrinkTVP_3.0.1.tgz, r-release (arm64): shrinkTVP_3.0.1.tgz, r-oldrel (arm64): shrinkTVP_3.0.1.tgz, r-devel (x86_64): shrinkTVP_3.0.1.tgz, r-release (x86_64): shrinkTVP_3.0.1.tgz, r-oldrel (x86_64): shrinkTVP_3.0.1.tgz |
Old sources: | shrinkTVP archive |
Reverse imports: | shrinkDSM, shrinkTVPVAR |
Reverse linking to: | shrinkDSM, shrinkTVPVAR |
Reverse suggests: | tidyfit |
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