NEWS
shrinkTVP 3.0.1 (2024-02-18)
- Added capability to estimate models under the dynamic triple gamma prior (as in Knaus and Frühwirth-Schnatter \doi{10.48550/arXiv.2312.10487})
- Fixed a bug in resample_alpha
- Fixed an issue on Debian
shrinkTVP 2.1.1 (2023-11-22)
- Added a more robust solve method for armadillo matrices
- Fixed issues with exported Bhattacharya and Rue algorithm
- Fixed issue with the usenames option for xcolor in the vignette
shrinkTVP 2.0.6 (2022-10-18)
- Fixed a bug in LPDS()
- Fixed issues on Fedora and Debian
- Changed compiler flag -DARMA_DONT_PRINT_ERRORS to -DARMA_WARN_LEVEL=0
shrinkTVP 2.0.5 (2022-02-03)
- Modified shrinkTVP.ltx to work with new jss.cls
shrinkTVP 2.0.4 (2021-11-26)
- Added CITATION file
- Modified DESCRIPTION as well as some documentation files
shrinkTVP 2.0.3 (2021-10-21)
- Fixed a bug in the sampling step for c_xi (Thanks to Tony Chernis for pointing it out)
- Fixed a bug in the sampling step for a_tau (Thanks to Wenjie Zhao for pointing it out)
- Added DG_MH_step to exported functions
- Fixed some typos in the documentation
- Added a newline to the print() function
shrinkTVP 2.0.2 (2021-05-13)
- Moved to stochvol 3.0
- Fixed an issue with the exported version sample_TG_TVP function
- Fixed an issue with the exported Bhattacharya algorithm
- define STRICT_R_HEADERS, include float.h, adjust some constants
shrinkTVP 2.0.1 (2020-11-09)
- Fixed an issue on Solaris
shrinkTVP 2.0 (2020-11-05)
- Added option to use triple gamma prior
- Added one-step update function updateTVP for modular use in other samplers
- Added convenience methods (residuals.shrinkTVP, fitted.shrinkTVP, etc...)
- Re-factored C++ code, improving on speed in some places
- Added forecast_shrinkTVP (and associated plot.forecast_shrinkTVP method), which allows for forecasting
- All C++ functions are now exported for use in other packages
- simTVP now allows user to adjust parameters governing SV process
- Re-factored plot.shrinkTVP to use layout() instead of par(mfrow = ...)
- Bug fixes
- Updated the vignette
shrinkTVP 1.1.1 (2019-10-06)
shrinkTVP 1.1.0 (2019-10-06)
- Overhauled plotting functions. The default is now shaded areas instead of lines and more customization options are available.
- plot.mcmc.tvp now also adds time series information to the x-axis labels, thanks to zoo::index.
- Changed the way LPDS are calculated, moving them from the shrinkTVP function to a dedicated LPDS function.
- Added the new eval_pred_dens function, which allows the user to evaluate the one-step ahead predictive density.
- Objects returned from the shrinkTVP function are now of class shrinkTVP and not shrinkTVP_res.
shrinkTVP 1.0.2 (2019-08-07)
shrinkTVP 1.0.1 (2019-07-15)
- plot.mcmc.tvp now adds a horizontal line at 0
- Added a nicer print method for shrinkTVP_res objects
- Fixed some typos and errors in the documentation