hdiVAR

The model is high-dimensional vector autoregression with measurement error, also known as linear gaussian state-space model. Provable sparse expectation-maximization algorithm is provided for the estimation of transition matrix and noise variances. Global and simultaneous testings are implemented for transition matrix with false discovery rate control. For more information, see the accompanying paper: Lyu, X., Kang, J., & Li, L. (2023). "Statistical inference for high-dimensional vector autoregression with measurement error", Statistica Sinica.

Last 30 days

This package has been downloaded 161 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 6 times.

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Last 365 days

This package has been downloaded 2,481 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Sep 11, 2024 with 28 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.