Knaus, Peter, Bitto-Nemling, Angela, Cadonna, Annalisa, Frühwirth-Schnatter, Sylvia. 2021. shrinkTVP.
BibTeX
Abstract
Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006>.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Software |
| Title | shrinkTVP |
| Date | May 13, 2021 |
| Version | 2.0.2 |
| Licence | GPL-3 |
| Programming language | R, C++ |
Associations
- People
- Knaus, Peter (Details)
- Cadonna, Annalisa (Former researcher)
- Frühwirth-Schnatter, Sylvia (Details)
- External
- Bitto-Nemling, Angela (NA, 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)