DESCRIPTION

Package: dsp
Type: Package
Title: Dynamic Shrinkage Processes
Version: 0.1.0
Author: Daniel R. Kowal
Maintainer: Daniel R. Kowal <daniel.r.kowal@gmail.com>
Description: This package provides a full, efficient MCMC sampling algorithm for dynamic 
    shrinkage processes (DSPs). DSPs extend popular global-local shrinkage priors, such as
    the horseshoe prior for sparse signals, to the time series setting by allowing the 
    shrinkage behavior to depend on the history of the shrinkage process. The resulting
    processes are locally adaptive, which is important for time series data and regression
    functions with irregular features. The package provides the component samplers for the 
    Gibbs sampler for DSPs, as well as a full MCMC implementation for Bayesian trend 
    filtering (BTF) with dynamic horseshoe processes as the prior (penalty). BTF estimates 
    are used for curve-fitting of univariate data, typically with irregular features. The 
    BTF model is implemented using a dynamic linear model (DLM) framework, which provides 
    efficient computations and a platform for useful extensions. BTF penalizes differences 
    (first or second, in this case) of the conditional expectation (i.e., the signal) to 
    produce approximately locally constant or locally linear estimates. We use DSPs as the 
    prior on the 1st/2nd differences, which produces curve estimates and credible bands
    that are highly adaptive to both rapidly- and slowly-changing features. We also 
    provide BTF model implementations for the (static) horseshoe (HS) prior and a normal-
    inverse-Gamma (NIG) prior. In all cases, computations are linear in the number of time 
    points, so the MCMC samplers are highly efficient. 
    Besides curve-fitting via BTF, we include full, efficient MCMC sampling algorithms 
    for dynamic shrinkage processes applied to (1) dynamic regression with time-varying
    coefficients and (2) B-spline models for curve-fitting. In the dynamic regression 
    model, we regress a dynamic (scalar) response on a vector of dynamic predictors
    for which the corresponding regression coefficients are time-varying. The 1st/2nd 
    differences of the regression coefficients are penalized using DSPs (with options for 
    HS and NIG priors), allowing for highly adaptive regression functions. In the B-spline
    setting, we penalize 1st/2nd differences of the B-spline basis coefficients, similar
    to P-splines, using DSPs (with options for HS and NIG priors). The resulting 
    curve-fitting model is highly adaptive, like the BTF model above, but easily
    incorporates unequally-spaced observation points. 
License: GPL-2
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.1.1
Imports:
    BayesLogit,
    coda,
    fda,
    KFAS,
    Matrix,
    spam,
    stochvol,
    truncdist,
    vars,
Suggests:
    spam64