Open AccessShrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP
Author(s) -
Peter Knaus,
Angela Bitto-Nemling,
Annalisa Cadonna,
Sylvia FrühwirthSchnatter
Publication year - 2021
Publication title -
journal of statistical software
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 7.636
H-Index - 145
ISSN - 1548-7660
DOI - 10.18637/jss.v100.i13
Subject(s) - prior probability , shrinkage , overfitting , markov chain monte carlo , computer science , bayesian probability , r package , bayesian inference , algorithm , artificial intelligence , machine learning , computational science , artificial neural network