Other packages > Find by keyword >

dsp  

Dynamic Shrinkage Process and Change Point Detection
View on CRAN: Click here


Download and install dsp package within the R console
Install from CRAN:
install.packages("dsp")

Install from Github:
library("remotes")
install_github("cran/dsp")

Install by package version:
library("remotes")
install_version("dsp", "1.6.0")



Attach the package and use:
library("dsp")
Maintained by
Toryn Schafer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-08-19
Latest Update: 2025-08-19
Description:
Provides efficient Markov chain Monte Carlo (MCMC) algorithms for dynamic shrinkage processes, which extend global-local shrinkage priors to the time series setting by allowing shrinkage to depend on its own past. These priors yield locally adaptive estimates, useful for time series and regression functions with irregular features. The package includes full MCMC implementations for trend filtering using dynamic shrinkage on signal differences, producing locally constant or linear fits with adaptive credible bands. Also included are models with static shrinkage and normal-inverse-Gamma priors for comparison. Additional tools cover dynamic regression with time-varying coefficients and B-spline models with shrinkage on basis differences, allowing for flexible curve-fitting with unequally spaced data. Some support for heteroscedastic errors, outlier detection, and change point estimation. Methods in this package are described in Kowal et al. (2019) <doi:10.1111/rssb.12325>, Wu et al. (2024) <doi:10.1080/07350015.2024.2362269>, Schafer and Matteson (2024) <doi:10.1080/00401706.2024.2407316>, and Cho and Matteson (2024) <doi:10.48550/arXiv.2408.11315>.
How to cite:
Toryn Schafer (2025). dsp: Dynamic Shrinkage Process and Change Point Detection. R package version 1.6.0, https://cran.r-project.org/web/packages/dsp. Accessed 09 Oct. 2026.
Previous versions and publish date:
(2026-07-22 00:50), 1.2.0 (2025-08-19 17:00), 1.3.0 (2026-04-20 20:00), 1.4.0 (2026-05-12 21:00), 1.5.0 (2026-06-14 21:20), 1.5.1 (2026-07-16 19:00)
Other packages that cited dsp R package
View dsp citation profile
Other R packages that dsp depends, imports, suggests or enhances
Complete documentation for dsp
Functions, R codes and Examples using the dsp R package
Full dsp package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

baffle  
Make Waffle Plots with Base Graphics
Waffle plots are rectangular pie charts that represent a quantity or abundances using colored squar ...
Download / Learn more Package Citations See dependency  
githubinstall  
A Helpful Way to Install R Packages Hosted on GitHub
Provides an helpful way to install packages hosted on GitHub. ...
Download / Learn more Package Citations See dependency  
separationplot  
Separation Plots
Visual representations of model fit or predictive success in the form of "separation plots." See Gr ...
Download / Learn more Package Citations See dependency  
binovisualfields  
Depth-Dependent Binocular Visual Fields Simulation
Simulation and visualization depth-dependent integrated visual fields. Visual fields are measured mo ...
Download / Learn more Package Citations See dependency  
TRMF  
Temporally Regularized Matrix Factorization
Functions to estimate temporally regularized matrix factorizations (TRMF) for forecasting and imputi ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  

28,989

R Packages

247,686

Dependencies

76,495

Author Associations

28,990

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA