shrinkTVP
Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage
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>. For the multivariate extension, see the 'shrinkTVPVAR' package.
Downloads
848
Last 30 days
4175th
848
Last 90 days
848
Last year
CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
*
*
*
*
*
*
installed package size
installed size is 13.2Mb
sub-directories of 1Mb or more:
libs 12.2Mb
installed package size
installed size is 14.0Mb
sub-directories of 1Mb or more:
libs 13.0Mb
*
*
*
*
*
*
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
installed package size
installed size is 13.2Mb
sub-directories of 1Mb or more:
libs 12.2Mb
installed package size
installed size is 14.0Mb
sub-directories of 1Mb or more:
libs 13.0Mb