Quotation Knaus, Peter, Bitto-Nemling, Angela, Cadonna, Annalisa, Frühwirth-Schnatter, Sylvia. 2021. shrinkTVP.


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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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Publication's profile

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)
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