This package is considered a duplicate. The official version of this package is found at:https://neferkareii.r-universe.dev/shrinkTVPVAR

Package: shrinkTVPVAR 0.1.1

Peter Knaus

shrinkTVPVAR: Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter vector autoregressive models with shrinkage priors. Details on the algorithms used are provided in Cadonna et al. (2020) <doi:10.3390/econometrics8020020> and Knaus et al. (2021) <doi:10.18637/jss.v100.i13>.

Authors:Peter Knaus [aut, cre]

shrinkTVPVAR_0.1.1.tar.gz
shrinkTVPVAR_0.1.1.tar.gz(r-4.5-noble)shrinkTVPVAR_0.1.1.tar.gz(r-4.4-noble)
shrinkTVPVAR_0.1.1.tgz(r-4.4-emscripten)shrinkTVPVAR_0.1.1.tgz(r-4.3-emscripten)
shrinkTVPVAR.pdf |shrinkTVPVAR.html✨
shrinkTVPVAR/json (API)

# Install 'shrinkTVPVAR' in R:

install.packages('shrinkTVPVAR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblas cpp

1.00 score 1 stars 2 scripts 137 downloads 7 exports 11 dependencies

Last updated 4 months agofrom:b2807bf92b. Checks:OK: 2. Indexed: no.

Target	Result	Date
Doc / Vignettes	OK	Dec 16 2024
R-4.5-linux-x86_64	OK	Dec 16 2024

Exports:density_plotter forecast_shrinkTVPVAR gen_TVP_params shrinkTVPVAR simTVPVAR state_plotter TV_heatmap

Dependencies:coda GIGrvg lattice RColorBrewer Rcpp RcppArmadillo RcppGSL RcppProgress shrinkTVP stochvol zoo

Citation

Readme and manuals

Help Manual

Help page	Topics
Kernel density plots of posterior distribution for hyperparameters of time-varying coefficient matrix in a TVP-VAR model	density_plotter
Calculate fitted historical values for an estimated TVP-VAR-SV model	fitted.shrinkTVPVAR
Draw from posterior predictive density of a fitted TVP-VAR-SV model	forecast_shrinkTVPVAR
Generate TVP_params that can be used as input for a TVP-VAR-SV model	gen_TVP_params
Plotting method for 'mcmc.tvp.var' objects	plot.mcmc.tvp.var
Plotting method for 'mcmc.var' objects	plot.mcmc.var
Plotting method for 'shrinkTVPVAR' objects	plot.shrinkTVPVAR
Graphical summary of posterior distribution of fitted values for TVP-VAR model	plot.shrinkTVPVAR_fit
Graphical summary of posterior predictive density for TVP-VAR-SV model	plot.shrinkTVPVAR_forc
Nicer printing of shrinkTVPVAR objects	print.shrinkTVPVAR
Markov Chain Monte Carlo (MCMC) for TVP-VAR-SV models with shrinkage	shrinkTVPVAR
Generate synthetic data from a TVP-VAR-SV model	simTVPVAR
Graphical summary of posterior distribution for a time-varying coefficient matrix in a TVP-VAR model	state_plotter
Heatmap of hyperparameters of time-varying coefficient matrix in a TVP-VAR model	TV_heatmap

Package: shrinkTVPVAR 0.1.1

shrinkTVPVAR: Efficient Bayesian Inference for TVP-VAR-SV Models with Shrinkage

Citation

Readme and manuals

Help Manual

Usage by other packages (reverse dependencies)