This folder contains the main paper [Bernardi, Bianchi, and Bianco (2023)] and the code to perform semi-parametric variational Bayes inference for dynamic variable selection in high-dimensional regressions assuming a dynamic version of the Bernoulli-Gaussian model specification.
A simple R code named TestCode.R is provided together with the source package dynGB_1.0.tar.gz.
If you have any issues/comments feel free to mail me nicolas.bianco@upf.edu