The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
shrinkTVPVAR: Efficient Bayesian Inference for TVP-VAR-SV Models with
Shrinkage
Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in
Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.
| Version: |
0.1.1 |
| Depends: |
R (≥ 3.3.0) |
| Imports: |
Rcpp, shrinkTVP, stochvol, coda, methods, grDevices, RColorBrewer, lattice, zoo |
| LinkingTo: |
Rcpp, RcppProgress, RcppArmadillo, shrinkTVP, stochvol |
| Suggests: |
testthat (≥ 3.0.0) |
| Published: |
2024-09-16 |
| DOI: |
10.32614/CRAN.package.shrinkTVPVAR |
| Author: |
Peter Knaus  [aut,
cre] |
| Maintainer: |
Peter Knaus <peter.knaus at wu.ac.at> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| CRAN checks: |
shrinkTVPVAR results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=shrinkTVPVAR
to link to this page.
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.