Quotation Knaus, Peter, Bitto-Nemling, Angela, Cadonna, Annalisa, Frühwirth-Schnatter, Sylvia. 2021. Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP. Journal of Statistical Software. 100 (13)


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Abstract

Time-varying parameter (TVP) models are widely used in time series analysis to flexibly deal with processes which gradually change over time. However, the risk of overfitting in TVP models is well known. This issue can be dealt with using appropriate global-local shrinkage priors, which pull time-varying parameters towards static ones. In this paper, we introduce the R package shrinkTVP (Knaus, Bitto-Nemling, Cadonna, and FrühwirthSchnatter 2021), which provides a fully Bayesian implementation of shrinkage priors for TVP models, taking advantage of recent developments in the literature, in particular those of Bitto and Frühwirth-Schnatter (2019) and Cadonna, Frühwirth-Schnatter, and Knaus (2020). The package shrinkTVP allows for posterior simulation of the parameters through an efficient Markov Chain Monte Carlo scheme. Moreover, summary and visualization methods, as well as the possibility of assessing predictive performance through log-predictive density scores, are provided. The computationally intensive tasks have been implemented in C++ and interfaced with R. The paper includes a brief overview of the models and shrinkage priors implemented in the package. Furthermore, core functionalities are illustrated, both with simulated and real data.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Statistical Software
Citation Index SCI
WU-Journal-Rating new FIN-A
Language English
Title Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP
Volume 100
Number 13
Year 2021
Reviewed? Y
URL https://www.jstatsoft.org/article/view/v100i13
DOI http://dx.doi.org/10.18637/jss.v100.i13
Open Access Y
Open Access Link https://www.jstatsoft.org/article/view/v100i13

Associations

People
Knaus, Peter (Details)
Frühwirth-Schnatter, Sylvia (Details)
External
Bitto-Nemling, Angela (JKU Linz, Austria)
Cadonna, Annalisa (Crayon Austria, Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
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