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) https://jmlr.org/papers/v21/19-777.html and Wilms, Basu, Bien and Matteson (2021) doi:10.1080/01621459.2021.1942013.
- Version0.2.3
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release08/21/2023
Documentation
Team
Ines Wilms
Enrico Wegner
Show author detailsRolesAuthorWill Nicholson
Show author detailsRolesAuthorJacob Bien
Show author detailsRolesAuthorSumanta Basu
Show author detailsRolesAuthorDavid S. Matteson
Show author detailsRolesAuthor
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- Imports6 packages
- Linking To3 packages