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20192025
most citedShrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP

7 citations · 8 across the 6 of their papers we have counts for

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econ.EM2023★ 1 cited

The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models

Peter Knaus, Sylvia Frühwirth-Schnatter

Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances t…