collaborators

1 paper

econ.EM2019

Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP

Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna +1

Time-varying parameter (TVP) models are widely used in time series analysis to flexibly deal with processes which gradually change over time. However, the risk of overfitting in TV…