multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) <doi:10.48550/arXiv.2007.05052>.

Version:	1.1.0
Depends:	R (≥ 2.10)
Imports:	methods, stats, utils, MASS, Rcpp (≥ 1.0.3), Matrix, ggplot2, vars, reshape2, glmnet
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	knitr, rmarkdown
Published:	2022-05-27
DOI:	10.32614/CRAN.package.multivar
Author:	Zachary Fisher [aut, cre], Younghoon Kim [ctb], Vladas Pipiras [ctb]
Maintainer:	Zachary Fisher <fish.zachary at gmail.com>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation:	yes
Materials:	README
CRAN checks:	multivar results

Documentation:

Reference manual:	multivar.pdf
Vignettes:	Getting Started with multi-VAR

Downloads:

Package source:	multivar_1.1.0.tar.gz
Windows binaries:	r-devel: multivar_1.1.0.zip, r-release: multivar_1.1.0.zip, r-oldrel: multivar_1.1.0.zip
macOS binaries:	r-release (arm64): multivar_1.1.0.tgz, r-oldrel (arm64): multivar_1.1.0.tgz, r-release (x86_64): multivar_1.1.0.tgz, r-oldrel (x86_64): multivar_1.1.0.tgz
Old sources:	multivar archive

Linking:

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