BigVAR
Dimension Reduction Methods for Multivariate Time Series
Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)[https://doi.org/10.1016%2Fj.ijforecast.2017.01.003] and Nicholson et al (2020) [https://doi.org/10.48550%2FarXiv.1412.5250].
- Version1.1.2
- R version≥ 3.5.0 methods,
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release01/09/2023
Documentation
Team
Will Nicholson
Ines Wilms
Show author detailsRolesAuthorJacob Bien
Show author detailsRolesAuthorDavid Matteson
Show author detailsRolesAuthor
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- Depends1 package
- Imports4 packages
- Suggests7 packages
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