BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Version: 1.0.3
Depends: R (≥ 3.1.0), methods
Imports: MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Published: 2018-07-22
Author: c( person("Will", "Nicholson", email = "wbn8@cornell.edu", role = c("cre","aut")), person("David", "Matteson", email = "matteson@cornell.edu", role = "aut"), person("Jacob", "Bien", email = "bien@cornell.edu", role = "aut"))
Maintainer: Will Nicholson <wbn8 at cornell.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.github.com/wbnicholson/BigVAR
NeedsCompilation: yes
SystemRequirements: C++11
Materials: NEWS
In views: TimeSeries
CRAN checks: BigVAR results

Downloads:

Reference manual: BigVAR.pdf
Package source: BigVAR_1.0.3.tar.gz
Windows binaries: r-devel: BigVAR_1.0.2.zip, r-release: BigVAR_1.0.2.zip, r-oldrel: BigVAR_1.0.3.zip
OS X binaries: r-release: BigVAR_1.0.2.tgz, r-oldrel: BigVAR_1.0.2.tgz
Old sources: BigVAR archive

Reverse dependencies:

Reverse suggests: frequencyConnectedness

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