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 stochastic volatility (TVP-VAR-SV) under shrinkage priors and dynamic shrinkage processes. Details on the TVP-VAR-SV model and the shrinkage priors can be fo
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curl https://depscope.dev/api/check/cran/shrinkTVPVARFirst published · 2025-06-03 13:55:03
Last updated · 2025-06-03T12:40:07+00:00