bvhar 2.0.1

• Fix internal vectorization and unvectorization behavior.

• Used Eigen 3.4 feature (reshaped()) to solve these (RcppEigen >= 0.3.4.0.0).

bvhar 2.0.0

• Start to implement OOP in C++ source for each model, ready for major update.

• Add SV specification (sv_spec argument) in bvhar_sv() and bvar_sv() (set_sv()).

• Prevent SSVS overflow issues by using log-sum-exp trick when computing Bernoulli posterior probability.

• Add separate constant term prior specification (intercept) in bvhar_sv() and bvar_sv() (set_intercept()).

• Convert every header file inst/include to header-only format. This enables external inclusion of our classes, structs, and Rcpp functions by using LinkingTo (in R package development) or // [[Rcpp::depends(RcppEigen, BH, bvhar)]].

Parallel Chain MCMC

• Use OpenMP parallel for loop

• Progress bar will show the status only for master thread when OpenMP enabled.

• Interruption detect will just save values and break the loop, not return immediately.

• Do burn-in and thinning in each returnRecords() method to make pre-process parallel chains easier.

• Use boost library (BH package) RNG instead of Rf_* RNG of Rcpp for thread-safety.

• Introduce function overloading to internal Rcpp random generation functions temporarily.
  It's for maintaining set.seed() usage of some functions.

bvhar 1.2.0

• Replace progress bar of RcppProgress package with custom header (bvharprogress.h).

• Replace checking user interruption in the same package with custom header (bvharinterrupt.h).

• Fix triangular algorithm. Found missing update of some variables (bvar_sv() and bvhar_sv()).

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.

• Remove unnecessary Rcpp plugins in source files.

bvhar 1.0.1

• Fix knitr::knit_print() method export methods (#2).

bvhar 1.0.0

Bayesian Vector Heterogeneous Autoregressive Modeling, JSCS

• Update to major version before publication.

JSCS revision ver.

• Added MVT innovation generation.
• Refer to the paper's code repo: ygeunkim/paper-bvhar

JSCS submission ver.

• A version used in JSCS submission (accepted in Nov. 2023): Bayesian vector heterogeneous autoregressive modeling
• Also available in Zenodo: used for ygeunkim/paper-bvhar codes