Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.
Version: | 1.1.2 |
Depends: | R (≥ 3.5.0), methods, lattice |
Imports: | MASS, zoo, Rcpp, stats, utils, grDevices, graphics, abind |
LinkingTo: | Rcpp, RcppArmadillo, RcppEigen |
Suggests: | knitr, rmarkdown, gridExtra, expm, MCS, quantmod, codetools |
Published: | 2023-01-09 |
DOI: | 10.32614/CRAN.package.BigVAR |
Author: | Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut], Ines Wilms [aut] |
Maintainer: | Will Nicholson <wbn8 at cornell.edu> |
BugReports: | https://github.com/wbnicholson/BigVAR/issues |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
URL: | https://github.com/wbnicholson/BigVAR |
NeedsCompilation: | yes |
SystemRequirements: | C++11 |
Materials: | NEWS |
In views: | TimeSeries |
CRAN checks: | BigVAR results |
Reference manual: | BigVAR.pdf |
Vignettes: |
BigVAR: Tools for Modeling Sparse Vector Autoregressions with Exogenous Variables |
Package source: | BigVAR_1.1.2.tar.gz |
Windows binaries: | r-devel: BigVAR_1.1.2.zip, r-release: BigVAR_1.1.2.zip, r-oldrel: BigVAR_1.1.2.zip |
macOS binaries: | r-release (arm64): BigVAR_1.1.2.tgz, r-oldrel (arm64): BigVAR_1.1.2.tgz, r-release (x86_64): BigVAR_1.1.2.tgz, r-oldrel (x86_64): BigVAR_1.1.2.tgz |
Old sources: | BigVAR archive |
Reverse imports: | VIRF |
Reverse suggests: | frequencyConnectedness |
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