fnets

Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

CRAN Package

Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) accompanying the R package.

  • Version0.1.6
  • R version≥ 4.1.0
  • LicenseGPL (≥ 3)
  • Needs compilation?No
  • Last release01/23/2024

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  • Depends1 package
  • Imports8 packages
  • Suggests1 package