rSGDLM 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 Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models. Zbl 1359.62367Gruber, Lutz; West, Mike 2016 all top 5 Cited by 18 Authors 6 West, Mike 2 Gruber, Lutz F. 2 McAlinn, Kenichiro 1 Aastveit, Knut Are 1 Carvalho, Carlos Marinho 1 Crawford, Lorin 1 Fisher, Jared D. 1 Flaxman, Seth R. 1 Fontaine, Joseph J. 1 Franzen, Christian 1 Irie, Kaoru 1 Kastner, Gregor 1 Ling, Hui ‘Fox’ 1 Nakajima, Jouchi 1 Pettenuzzo, Davide 1 Runcie, Daniel E. 1 Stuber, Erica F. 1 Wszola, Lyndsie S. all top 5 Cited in 6 Serials 3 Bayesian Analysis 2 Journal of Econometrics 2 The Annals of Applied Statistics 1 Annals of the Institute of Statistical Mathematics 1 Journal of the American Statistical Association 1 Quantitative Finance Cited in 5 Fields 9 Statistics (62-XX) 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) 1 Computer science (68-XX) 1 Biology and other natural sciences (92-XX) Citations by Year