BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Version: 1.0.2
Depends: R (≥ 3.1.0), methods
Imports: MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Published: 2017-04-03
Author: Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Maintainer: Will Nicholson <wbn8 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
In views: TimeSeries
CRAN checks: BigVAR results


Reference manual: BigVAR.pdf
Package source: BigVAR_1.0.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: BigVAR_1.0.2.tgz
OS X Mavericks binaries: r-oldrel: BigVAR_1.0.2.tgz
Old sources: BigVAR archive

Reverse dependencies:

Reverse suggests: frequencyConnectedness


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