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A Bayesian time series loss development model. Features include skewed-t distribution with time-varying scale parameter, Reversible Jump MCMC for determining the functional form of the consumption path, and a structural break in this path.
The project summary page you find here.
Feel free to download and try the current release of lossDev, version 0.9.3, which requires R version 2.11.1 or greater. The package can be installed after opening R and selecting "Packages->Install package(s) from local zip files...". lossDev should be available on CRAN shortly.
For Linux installations one will need the tar.gz file available here lossDev_0.9.3.tar.gz.The documentation is currently available here.
A vignette, which offers specific examples of how to use this package, is available for download here. The R code associated with this Vignette can be downloaded here.
The paper the package is based on you find here.