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", "1.2.0")



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 1.2.0, https://cran.r-project.org/web/packages/dsp. Accessed 05 Jun. 2026.
Previous versions and publish date:
1.2.0 (2025-08-19 17:00), 1.3.0 (2026-04-20 20:00)
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

ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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