Merge branch 'release/v1.1.0'

DESCRIPTION

@@ -1,7 +1,7 @@
 Package: bvhar
 Type: Package
 Title: Bayesian Vector Heterogeneous Autoregressive Modeling
-Version: 1.0.2
+Version: 1.1.0
 Authors@R: 
     c(person(given = "Young Geun",
              family = "Kim",
@@ -12,7 +12,7 @@ Authors@R:
              family = "Baek",
              role = "ctb"))
 Description: Tools to research Bayesian Vector heterogeneous autoregressive (VHAR) model,
-    referring to Kim & Baek (2023+) (<doi:10.1080/00949655.2023.2281644>).
+    referring to Kim & Baek (2023) (<doi:10.1080/00949655.2023.2281644>).
     'bvhar' can model Vector Autoregressive (VAR), VHAR, Bayesian VAR (BVAR), and Bayesian VHAR (BVHAR) models.
 License: GPL (>= 3)
 URL: https://ygeunkim.github.io/package/bvhar/, https://github.com/ygeunkim/bvhar
@@ -40,8 +40,7 @@ Imports:
     optimParallel,
     posterior,
     bayesplot,
-    doRNG,
-    forcats
+    doRNG
 LinkingTo: 
     Rcpp,
     RcppEigen,

NAMESPACE

@@ -57,15 +57,20 @@ S3method(is.stable,vharlse)
 S3method(knitr::knit_print,boundbvharemp)
 S3method(knitr::knit_print,bvarflat)
 S3method(knitr::knit_print,bvarhm)
+S3method(knitr::knit_print,bvarhs)
 S3method(knitr::knit_print,bvarmn)
 S3method(knitr::knit_print,bvarssvs)
+S3method(knitr::knit_print,bvarsv)
 S3method(knitr::knit_print,bvharcv)
 S3method(knitr::knit_print,bvharemp)
+S3method(knitr::knit_print,bvharhs)
 S3method(knitr::knit_print,bvharirf)
 S3method(knitr::knit_print,bvharmn)
 S3method(knitr::knit_print,bvharpriorspec)
 S3method(knitr::knit_print,bvharspec)
 S3method(knitr::knit_print,bvharssvs)
+S3method(knitr::knit_print,bvharsv)
+S3method(knitr::knit_print,horseshoespec)
 S3method(knitr::knit_print,predbvhar)
 S3method(knitr::knit_print,ssvsinit)
 S3method(knitr::knit_print,ssvsinput)
@@ -80,6 +85,7 @@ S3method(logLik,bvarmn)
 S3method(logLik,bvharmn)
 S3method(logLik,varlse)
 S3method(logLik,vharlse)
+S3method(lpl,predsv)
 S3method(mae,bvharcv)
 S3method(mae,predbvhar)
 S3method(mape,bvharcv)
@@ -91,9 +97,11 @@ S3method(mrae,predbvhar)
 S3method(mse,bvharcv)
 S3method(mse,predbvhar)
 S3method(predict,bvarflat)
+S3method(predict,bvarhs)
 S3method(predict,bvarmn)
 S3method(predict,bvarssvs)
 S3method(predict,bvarsv)
+S3method(predict,bvharhs)
 S3method(predict,bvharmn)
 S3method(predict,bvharssvs)
 S3method(predict,bvharsv)
@@ -102,22 +110,25 @@ S3method(predict,vharlse)
 S3method(print,boundbvharemp)
 S3method(print,bvarflat)
 S3method(print,bvarhm)
+S3method(print,bvarhs)
 S3method(print,bvarmn)
 S3method(print,bvarssvs)
 S3method(print,bvarsv)
 S3method(print,bvharcv)
 S3method(print,bvharemp)
+S3method(print,bvharhs)
 S3method(print,bvharirf)
 S3method(print,bvharmn)
 S3method(print,bvharpriorspec)
 S3method(print,bvharspec)
 S3method(print,bvharssvs)
 S3method(print,bvharsv)
+S3method(print,horseshoespec)
 S3method(print,predbvhar)
 S3method(print,ssvsinit)
 S3method(print,ssvsinput)
+S3method(print,summary.bvharsp)
 S3method(print,summary.normaliw)
-S3method(print,summary.ssvsmod)
 S3method(print,summary.varlse)
 S3method(print,summary.vharlse)
 S3method(print,varlse)
@@ -146,6 +157,7 @@ S3method(stableroot,bvarmn)
 S3method(stableroot,bvharmn)
 S3method(stableroot,varlse)
 S3method(stableroot,vharlse)
+S3method(summary,hsmod)
 S3method(summary,normaliw)
 S3method(summary,ssvsmod)
 S3method(summary,varlse)
@@ -160,10 +172,12 @@ export(autolayer)
 export(autoplot)
 export(bound_bvhar)
 export(bvar_flat)
+export(bvar_horseshoe)
 export(bvar_minnesota)
 export(bvar_niwhm)
 export(bvar_ssvs)
 export(bvar_sv)
+export(bvhar_horseshoe)
 export(bvhar_minnesota)
 export(bvhar_ssvs)
 export(bvhar_sv)
@@ -195,14 +209,14 @@ export(is.bvharemp)
 export(is.bvharmn)
 export(is.bvharpriorspec)
 export(is.bvharspec)
+export(is.horseshoespec)
 export(is.predbvhar)
 export(is.ssvsinit)
 export(is.ssvsinput)
 export(is.stable)
 export(is.varlse)
 export(is.vharlse)
-export(knit_print.bvarsv)
-export(knit_print.bvharsv)
+export(lpl)
 export(mae)
 export(mape)
 export(mase)
@@ -217,10 +231,13 @@ export(rmsfe)
 export(set_bvar)
 export(set_bvar_flat)
 export(set_bvhar)
+export(set_horseshoe)
 export(set_lambda)
 export(set_psi)
 export(set_ssvs)
 export(set_weight_bvhar)
+export(sim_horseshoe_var)
+export(sim_horseshoe_vhar)
 export(sim_iw)
 export(sim_matgaussian)
 export(sim_mncoef)
@@ -249,7 +266,7 @@ importFrom(dplyr,group_by)
 importFrom(dplyr,left_join)
 importFrom(dplyr,mutate)
 importFrom(dplyr,n)
-importFrom(forcats,fct_rev)
+importFrom(dplyr,rename)
 importFrom(foreach,"%do%")
 importFrom(foreach,"%dopar%")
 importFrom(foreach,foreach)
@@ -267,6 +284,8 @@ importFrom(ggplot2,geom_point)
 importFrom(ggplot2,geom_tile)
 importFrom(ggplot2,ggplot)
 importFrom(ggplot2,ggplot_build)
+importFrom(ggplot2,guide_colourbar)
+importFrom(ggplot2,guides)
 importFrom(ggplot2,labs)
 importFrom(ggplot2,last_plot)
 importFrom(ggplot2,layer)
@@ -284,10 +303,13 @@ importFrom(optimParallel,optimParallel)
 importFrom(posterior,as_draws_df)
 importFrom(posterior,as_draws_matrix)
 importFrom(posterior,bind_draws)
+importFrom(posterior,subset_draws)
+importFrom(posterior,summarise_draws)
 importFrom(purrr,reduce)
 importFrom(stats,AIC)
 importFrom(stats,BIC)
 importFrom(stats,cor)
+importFrom(stats,cov)
 importFrom(stats,logLik)
 importFrom(stats,nobs)
 importFrom(stats,optim)
@@ -302,7 +324,6 @@ importFrom(stats,setNames)
 importFrom(tibble,add_column)
 importFrom(tibble,rownames_to_column)
 importFrom(tidyr,pivot_longer)
-importFrom(tidyr,pivot_wider)
 importFrom(tidyr,separate)
 importFrom(tidyr,separate_wider_delim)
 importFrom(tidyr,unite)

NEWS.md

@@ -1,3 +1,15 @@
+# bvhar 1.1.0
+
+* For new research, add new features for shrinkage priors.
+
+* Add Shrinkage priors SSVS and Horseshoe (`bvar_ssvs()`, `bvhar_ssvs()`, `bvar_horseshoe()`, and `bvhar_horseshoe()`).
+
+* `bvar_sv()`, `bvhar_sv()` works with SSVS (`set_ssvs()`) and Horseshoe (`set_horseshoe()`).
+
+* Update the shrinkage structure in the spirit of Minnesota. (`minnesota = TRUE`, `minnesota = c("no", "short", "longrun")`).
+
+* Stochastic volatility models implement corrected triangular algorithm of Carriero et al. (2021).
+
 # bvhar 1.0.2
 
 * License has been changed to [GPLv3](https://choosealicense.com/licenses/gpl-3.0/).
@@ -10,7 +22,7 @@
 
 # bvhar 1.0.0
 
-## Bayesian Vector Heterogeneous Autoregressive Modeling, JSCS 
+* "Bayesian Vector Heterogeneous Autoregressive Modeling" has been accepted in JSCS 🎉
 
 * Update to major version before publication.