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>.
Version: | 1.1.1 |
Depends: | R (≥ 3.3.0) |
Imports: | Rcpp, GIGrvg, stochvol, coda, methods, utils, zoo |
LinkingTo: | Rcpp, RcppArmadillo, GIGrvg, RcppProgress, stochvol |
Suggests: | testthat, knitr, rmarkdown, R.rsp |
Published: | 2019-10-06 |
Author: | Peter Knaus |
Maintainer: | Peter Knaus <peter.knaus at wu.ac.at> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | yes |
Materials: | NEWS |
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_1.1.1.tar.gz |
Windows binaries: | r-devel: shrinkTVP_1.1.1.zip, r-release: shrinkTVP_1.1.1.zip, r-oldrel: shrinkTVP_1.1.1.zip |
macOS binaries: | r-release: shrinkTVP_1.1.1.tgz, r-oldrel: shrinkTVP_1.1.1.tgz |
Old sources: | shrinkTVP archive |
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