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) <doi:10.1016/j.jeconom.2018.11.006> and Cadonna et al. (2020) <doi:10.3390/econometrics8020020>.

Getting started

Package details

AuthorPeter Knaus [aut, cre] (<>), Angela Bitto-Nemling [aut], Annalisa Cadonna [aut] (<>), Sylvia Frühwirth-Schnatter [aut] (<>), Daniel Winkler [ctb], Kemal Dingic [ctb]
MaintainerPeter Knaus <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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shrinkTVP documentation built on Nov. 10, 2020, 1:08 a.m.