BigVAR

Dimension Reduction Methods for Multivariate Time Series

CRAN Package

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].


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  • Imports4 packages
  • Suggests7 packages
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