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 |
| 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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