Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage


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Documentation for package ‘shrinkTVP’ version 1.1.1

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eval_pred_dens Evaluate the one step ahead predictive density of a fitted TVP model
LPDS Calculate the Log Predictive Density Score for a fitted TVP model
plot.mcmc.tvp Graphical summary of posterior distribution for a time-varying parameter
plot.shrinkTVP Graphical summary of posterior distribution
print.shrinkTVP Nicer printing of shrinkTVP objects
shrinkTVP Markov Chain Monte Carlo (MCMC) for time-varying parameter models with shrinkage
simTVP Generate synthetic data from a time-varying parameter model