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)
- Version0.2.3
- R version≥ 3.6.0 methods
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release08/21/2023
Documentation
Team
Ines Wilms
David S. Matteson
Show author detailsRolesAuthorJacob Bien
Show author detailsRolesAuthorSumanta Basu
Show author detailsRolesAuthorWill Nicholson
Show author detailsRolesAuthorEnrico Wegner
Show author detailsRolesAuthor
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- Depends1 package
- Imports9 packages
- Linking To3 packages