shrinkTVP (Q41501)
From MaRDI portal
Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | shrinkTVP |
Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage |
Statements
18 February 2024
0 references
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) <doi:10.1016/j.jeconom.2018.11.006> and Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus and Frühwirth-Schnatter (2023) <doi:10.48550/arXiv.2312.10487>. For details on the package, please see Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.
0 references
expanded from: GPL (≥ 2) (English)
0 references
0 references
