shrinkTVP

MaRDI QIDQ41501swMATHCRANFDO

Authors Sylvia Frühwirth-Schnatter, Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna

Last update 18 February 2024

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

Software version identifier 2.0.6, 1.0.0, 1.0.1, 1.0.2, 1.1.0, 1.1.1, 2.0.1, 2.0.2, 2.0.3, 2.0.4, 2.0.5, 2.0.6, 2.0, 2.1.1, 3.0.1

Official website https://cran.r-project.org/web/packages/shrinkTVP/index.html

Source code repository https://github.com/cran/shrinkTVP

Description

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>.

Cites work

• The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models
• Achieving shrinkage in a time-varying parameter model framework
• Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models
• Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP

Cited in

(10)

• The condemned live longer -- new evidence of the New Keynesian Phillips curve in central and Eastern Europe
• pder
• stochvolTMB
• bsts
• MCMC Diagnostics
• NormalBetaPrime
• factorstochvol
• walker
• shrinkDSM
• dynamite

This page was built for software: shrinkTVP