shrinkTVP

3.1.2

Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage

4packages depend

8.3Kdownloads / year

58.9%test coverage

13/13checks pass

Overview

About

Maintained by Peter KnausFirst published 2019-06-1917 releasesCRAN page ↗

Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors, both dynamic and static. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) doi:10.1016/j.jeconom.2018.11.006 and Cadonna et al. (2020) doi:10.3390/econometrics8020020 and Knaus and Frühwirth-Schnatter (2023) doi:10.48550/arXiv.2312.10487. For details on the package, please see Knaus et al. (2021) doi:10.18637/jss.v100.i13. For the multivariate extension, see the 'shrinkTVPVAR' package.

Install

R (CRAN)Ubuntu (r2u)openSUSE (OBS)

install.packages("shrinkTVP", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-shrinktvp

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-shrinkTVP

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 7.3 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.05

58.9%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-07-18
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-07-12
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-06-27
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
WARNING2026-06-14
12 OK · 0 NOTE · 1 WARNING · 0 ERROR · 0 FAILURE
OK2026-05-02
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Show 5 earlier snapshots

NOTE2026-04-22
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
11 OK · 2 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-04-10
9 OK · 5 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-09
8 OK · 5 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 15%
Documented parameters: 99%
Return-value docs: 100%
References docs: 21%

Downloads

8.3K

CRAN downloads in the past year

Rank #3,735 · ~23/day · ~688/mo

Releases R versions

Daily download trend is not available in this view yet.

1.2K30 days

2.8K90 days

8.3K1 year

Compare downloads with other packages →

Also on439 r2u35 autocran30 c2d4u

Dependencies

Declared dependencies

15 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.3.0

Imports (7)

Rcpp GIGrvg stochvol codamethodsutilszoo

LinkingTo (6)

Rcpp RcppArmadillo GIGrvg RcppProgress stochvol RcppGSL

Suggests (4)

testthat knitr rmarkdown R.rsp

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

4direct

0indirect

shrinkDSM shrinkTVPVAR shrinkDSM shrinkTVPVAR shrinkGPR tidyfit

Code & Tests

People & History

People (6)

Maintainer (1)

Peter Knaus

Author, Maintainer

Authors (4)

Peter Knaus

Author, Maintainer

Angela Bitto-Nemling

Author

Annalisa Cadonna

Author

Sylvia Frühwirth-Schnatter

Author

Contributors (2)

Kemal Dingic

Contributor

Daniel Winkler

Contributor

Package Timeline

17 releases. Pick two to compare their code metrics. R releases are shown for context.

3.1.2Latest
2026-07-13 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
3.1.1
2026-01-08 · diff ↗
3.1.0
2025-06-02 · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
3.0.1
2024-02-18 · diff ↗
2.1.1
2023-11-22 · diff ↗
R
R 4.3.0 released · 2023-04-21
2.0.6
2022-10-19 · diff ↗
R
R 4.2.0 released · 2022-04-22
2.0.5
2022-02-03 · diff ↗
2.0.4
2021-11-26 · diff ↗
2.0.3
2021-10-21 · diff ↗
R
R 4.1.0 released · 2021-05-18
2.0.2
2021-05-13 · diff ↗

Show 9 earlier events

2.0.1
2020-11-09 · diff ↗
2.0
2020-11-05 · diff ↗
R
R 4.0.0 released · 2020-04-24
1.1.1
2019-10-06 · diff ↗
1.1.0
2019-10-06 · diff ↗
1.0.2
2019-08-07 · diff ↗
1.0.1
2019-07-15 · diff ↗
1.0.0
2019-06-19
R
R 3.6.0 released · 2019-04-26

Package metadata

First published: 2019-06-19
Total releases: 17 / 7 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.3.0
Download size: 1.0 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Bayesian Inference

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