swMATH ID: 34467
Software Authors: Gruber, L. F.
Description: rSGDLM is an R package that implements the Variational Bayes method for online learning of the Simultaneous Graphical DLM presented in GPU-Accelerated Bayesian Learning and Forecasting in Simultaneous Graphical Dynamic Linear Models (https://doi.org/10.1214/15-BA946). A method for online selection of the simultaneous parental sets is described in Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models (https://doi.org/10.1016/j.ecosta.2017.03.003).
Homepage: https://github.com/lutzgruber/gpuSGDLM
Source Code:  https://github.com/lutzgruber/gpuSGDLM
Dependencies: R
Related Software: bvarsv; DeCo; GitHub; pyuvdata; HdBCS; Stan; BartPy; GaussQR; GEMMA; qtlbim; pi-MASS; BayesTree; PLINK; stochvol; factorstochvol; GIGrvg; R; Ox; PRMLT
Cited in: 10 Publications

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