Preprint
Nov 2026
dsp: An R Package for Bayesian Time Series Modeling with the Dynamic Shrinkage Process
dsp provides a unified state-space framework for modeling nonstationary time series using the Dynamic Shrinkage Process (DSP), a class of global-local shrinkage priors. DSP adaptively regularizes time-varying parameters to shrink noise while preserving abrupt changes and other local structure. The package supports Gaus...
Jason B. Cho, Daniel R. Kowal, Hao-Xuan Wu et al.
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