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shrinkTVP (version 1.0.0)

Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

Description

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 Frhwirth-Schnatter (2019) .

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Version

Install

install.packages('shrinkTVP')

Monthly Downloads

328

Version

1.0.0

License

GPL (>= 2)

Maintainer

Peter Knaus

Last Published

June 19th, 2019

Functions in shrinkTVP (1.0.0)

plot.shrinkTVP_res

Graphical summary of posterior distribution

simTVP

Generate synthetic data from a time-varying parameter model

shrinkTVP

Markov Chain Monte Carlo (MCMC) for time-varying parameter models with shrinkage

plot.mcmc.tvp

Graphical summary of posterior distribution for a time-varying parameter