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, both dynamic and static. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019)
- Version3.0.1
- R version≥ 3.3.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- shrinkTVP citation info
- Last release02/18/2024
Documentation
Team
Peter Knaus
Angela Bitto-Nemling
Show author detailsRolesAuthorAnnalisa Cadonna
Sylvia Frühwirth-Schnatter
Daniel Winkler
Show author detailsRolesContributorKemal Dingic
Show author detailsRolesContributor
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- Depends1 package
- Imports7 packages
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