Variational Bayes Dynamic Variable Selection based on Rcpp and Armadillo

Brief Discussion

In this section, I would like to partly share my replication of Monte Carlo experiment implemented in Koop, Gary, and Dimitris Korobilis. 2020. “Bayesian Dynamic Variable Selection in High Dimensions”. While my implementaion is based on Rcpp and Armadillo so that this optimized hybrid codes can significantly improve the computational efficiency. I post both the package in development and the quick demo here for reference. [Code] [Demo]