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.
| Version: | 3.1.0 |
| Depends: | R (≥ 3.3.0) |
| Imports: | Rcpp,GIGrvg,stochvol (≥ 3.0.3),coda, methods, utils,zoo |
| LinkingTo: | Rcpp,RcppArmadillo,GIGrvg,RcppProgress,stochvol,RcppGSL |
| Suggests: | testthat,knitr,rmarkdown,R.rsp |
| Published: | 2025-06-02 |
| DOI: | 10.32614/CRAN.package.shrinkTVP |
| Author: | Peter Knaus [aut, cre], Angela Bitto-Nemling [aut], Annalisa Cadonna [aut], Sylvia Frühwirth-Schnatter [aut], Daniel Winkler [ctb], Kemal Dingic [ctb] |
| Maintainer: | Peter Knaus <peter.knaus at wu.ac.at> |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Citation: | shrinkTVP citation info |
| Materials: | NEWS |
| In views: | Bayesian |
| CRAN checks: | shrinkTVP results |