shrinkTVP
Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage
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>. For the multivariate extension, see the 'shrinkTVPVAR' package.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
3.1.1 |
rolling linux/jammy R-4.5 | shrinkTVP_3.1.1.tar.gz |
1.1 MiB |
3.1.1 |
rolling linux/noble R-4.5 | shrinkTVP_3.1.1.tar.gz |
1.1 MiB |
3.1.1 |
rolling source/ R- | shrinkTVP_3.1.1.tar.gz |
1.0 MiB |
3.1.1 |
latest linux/jammy R-4.5 | shrinkTVP_3.1.1.tar.gz |
1.1 MiB |
3.1.1 |
latest linux/noble R-4.5 | shrinkTVP_3.1.1.tar.gz |
1.1 MiB |
3.1.1 |
latest source/ R- | shrinkTVP_3.1.1.tar.gz |
1.0 MiB |
3.1.1 |
2026-04-26 source/ R- | shrinkTVP_3.1.1.tar.gz |
1.0 MiB |
3.1.1 |
2026-04-23 source/ R- | shrinkTVP_3.1.1.tar.gz |
1.0 MiB |
3.1.1 |
2026-04-09 windows/windows R-4.5 | shrinkTVP_3.1.1.zip |
1.5 MiB |
3.0.1 |
2025-04-20 source/ R- | shrinkTVP_3.0.1.tar.gz |
1.0 MiB |