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Changes in Version 3.0.1

• Added capability to estimate models under the dynamic triple gamma prior (as in Knaus and Frühwirth-Schnatter )
• Fixed a bug in resample_alpha
• Fixed an issue on Debian

Changes in Version 2.1.1

• Added a more robust solve method for armadillo matrices
• Fixed issues with exported Bhattacharya and Rue algorithm
• Fixed issue with the usenames option for xcolor in the vignette

Changes in Version 2.0.6

• Fixed a bug in LPDS()
• Fixed issues on Fedora and Debian
• Changed compiler flag -DARMA_DONT_PRINT_ERRORS to -DARMA_WARN_LEVEL=0

Changes in Version 2.0.5

• Modified shrinkTVP.ltx to work with new jss.cls

Changes in Version 2.0.4

• Added CITATION file
• Modified DESCRIPTION as well as some documentation files

Changes in Version 2.0.3

• Fixed a bug in the sampling step for c_xi (Thanks to Tony Chernis for pointing it out)
• Fixed a bug in the sampling step for a_tau (Thanks to Wenjie Zhao for pointing it out)
• Added DG_MH_step to exported functions
• Fixed some typos in the documentation
• Added a newline to the print() function

Changes in Version 2.0.2

• Moved to stochvol 3.0
• Fixed an issue with the exported version sample_TG_TVP function
• Fixed an issue with the exported Bhattacharya algorithm
• define STRICT_R_HEADERS, include float.h, adjust some constants

Changes in Version 2.0.1

• Fixed an issue on Solaris

Changes in Version 2.0

• Added option to use triple gamma prior
• Added one-step update function updateTVP for modular use in other samplers
• Added convenience methods (residuals.shrinkTVP, fitted.shrinkTVP, etc…)
• Re-factored C++ code, improving on speed in some places
• Added forecast_shrinkTVP (and associated plot.forecast_shrinkTVP method), which allows for forecasting
• All C++ functions are now exported for use in other packages
• simTVP now allows user to adjust parameters governing SV process
• Re-factored plot.shrinkTVP to use layout() instead of par(mfrow = …)
• Bug fixes
• Updated the vignette

Changes in Version 1.1.1

• Updated the vignette.

Changes in Version 1.1.0

• Overhauled plotting functions. The default is now shaded areas instead of lines and more customization options are available.
• plot.mcmc.tvp now also adds time series information to the x-axis labels, thanks to zoo::index.
• Changed the way LPDS are calculated, moving them from the shrinkTVP function to a dedicated LPDS function.
• Added the new eval_pred_dens function, which allows the user to evaluate the one-step ahead predictive density.
• Objects returned from the shrinkTVP function are now of class shrinkTVP and not shrinkTVP_res.

Changes in Version 1.0.2:

• Added a vignette
• Bug fixes

Changes in Version 1.0.1:

• plot.mcmc.tvp now adds a horizontal line at 0
• Added a nicer print method for shrinkTVP_res objects
• Fixed some typos and errors in the documentation

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.