50% off | Unlimited Data & AI Learning

Last chance! 50% off unlimited learning

Sale ends in

Learn R Programming
⚠️There's a newer version (3.1.0) of this package.Take me there.

shrinkTVP (version 1.0.2)

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) .

Copy Link

Version

Install

install.packages('shrinkTVP')

Monthly Downloads

847

Version

1.0.2

License

GPL (>= 2)

Maintainer

Peter Knaus

Last Published

August 7th, 2019

Functions in shrinkTVP (1.0.2)

simTVP

Generate synthetic data from a time-varying parameter model
plot.mcmc.tvp

Graphical summary of posterior distribution for a time-varying parameter
print.shrinkTVP_res

Nicer printing of shrinkTVP_res objects
shrinkTVP

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

Graphical summary of posterior distribution