shrinkTVP

Peter Knaus; Angela Bitto-Nemling; Annalisa Cadonna; Sylvia Frühwirth-Schnatter

shrinkTVP

Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter

Statistics and Mathematics

Publikation: Elektronische/multimediale Veröffentlichungen › Software

Abstract

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006>.

Originalsprache	Englisch
Publikationsstatus	Veröffentlicht - 13 Mai 2021

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

102022 Softwareentwicklung
502025 Ökonometrie
101018 Statistik

Verfügbarkeit prüfen

Katalog der Universitätsbibliothek

Dieses zitieren

@misc{7951ae787caa46c5a9d4f077f2589716,

title = "shrinkTVP",

abstract = "Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Fr{\"u}hwirth-Schnatter (2019) .",

author = "Peter Knaus and Angela Bitto-Nemling and Annalisa Cadonna and Sylvia Fr{\"u}hwirth-Schnatter",

year = "2021",

month = may,

day = "13",

language = "English",

}

TY - ADVS

T1 - shrinkTVP

AU - Knaus, Peter

AU - Bitto-Nemling, Angela

AU - Cadonna, Annalisa

AU - Frühwirth-Schnatter, Sylvia

PY - 2021/5/13

Y1 - 2021/5/13

N2 - Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) .

AB - Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) .

M3 - Software

ER -