desla: Desparsified Lasso Inference for Time Series

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <arXiv:2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <arXiv:2209.03218>.

Version: 0.2.0
Imports: Rcpp, Rdpack, stats, parallelly
LinkingTo: Rcpp, RcppArmadillo, RcppProgress
Suggests: ggplot2
Published: 2022-09-23
Author: Robert Adamek [cre, aut], Stephan Smeekes [aut], Ines Wilms [aut]
Maintainer: Robert Adamek <robertadamek94 at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: desla results

Documentation:

Reference manual: desla.pdf

Downloads:

Package source: desla_0.2.0.tar.gz
Windows binaries: r-devel: desla_0.1.0.zip, r-release: desla_0.2.0.zip, r-oldrel: desla_0.1.0.zip
macOS binaries: r-release (arm64): desla_0.2.0.tgz, r-oldrel (arm64): desla_0.2.0.tgz, r-release (x86_64): desla_0.2.0.tgz, r-oldrel (x86_64): desla_0.2.0.tgz
Old sources: desla archive

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