shrinkDSM

MaRDI QIDQ89538CRANFDO

Authors Daniel Winkler, Peter Knaus

Last update 24 March 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.2.0, PACKAGES.rds, 0.1.0, 1.0.0, 1.0.2

Description

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of dynamic survival models with shrinkage priors. Details on the algorithms used are provided in Wagner (2011) <doi:10.1007/s11222-009-9164-5>, Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006> and Cadonna et al. (2020) <doi:10.3390/econometrics8020020>.

Cites work

• Achieving shrinkage in a time-varying parameter model framework
• Bayesian estimation and stochastic model specification search for dynamic survival models
• Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models

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