Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

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Documentation for package ‘shrinkTVP’ version 3.0.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

eval_pred_dens	Evaluate the one-step ahead predictive density of a fitted TVP model
fitted.shrinkTVP	Calculate fitted historical values for an estimated TVP model
forecast_shrinkTVP	Draw from posterior predictive density of a fitted TVP model
LPDS	Calculate the Log Predictive Density Score for a fitted TVP model
plot.mcmc.tvp	Graphical summary of posterior distribution for a time-varying parameter
plot.shrinkTVP	Graphical summary of posterior distribution
plot.shrinkTVP_forc	Graphical summary of posterior predictive density
predict.shrinkTVP	Calculate predicted historical values for an estimated TVP model
print.shrinkTVP	Nicer printing of shrinkTVP objects
residuals.shrinkTVP	Calculate residuals for an estimated TVP model
shrinkDTVP	Markov Chain Monte Carlo (MCMC) for time-varying parameter models with dynamic shrinkage
shrinkTVP	Markov Chain Monte Carlo (MCMC) for time-varying parameter models with shrinkage
simTVP	Generate synthetic data from a time-varying parameter model
updateTVP	One step update version of 'shrinkTVP' with minimal overhead