bigtime: Sparse Estimation of Large Time Series Models
Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.
| Version: |
0.2.3 |
| Depends: |
R (≥ 3.6.0), methods |
| Imports: |
Rcpp (≥ 1.0.7), stats, utils, grDevices, graphics, corrplot, dplyr, ggplot2, tidyr, magrittr |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppEigen |
| Published: |
2023-08-21 |
| DOI: |
10.32614/CRAN.package.bigtime |
| Author: |
Ines Wilms [cre, aut],
David S. Matteson [aut],
Jacob Bien [aut],
Sumanta Basu [aut],
Will Nicholson [aut],
Enrico Wegner [aut] |
| Maintainer: |
Ines Wilms <i.wilms at maastrichtuniversity.nl> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/ineswilms/bigtime |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
bigtime results |
Documentation:
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