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BigVAR: Dimension Reduction Methods for Multivariate Time Series
Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.
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Package details |
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| Author | Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut], Ines Wilms [aut] |
| Maintainer | Will Nicholson <wbn8@cornell.edu> |
| License | GPL (>= 2) |
| Version | 1.1.2 |
| URL | https://github.com/wbnicholson/BigVAR |
| Package repository | View on CRAN |
| Installation |
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