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

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Documentation for package ‘shrinkTVPVAR’ version 1.0.1

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