BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Install the latest version of this package by entering the following in R:
AuthorWill Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Date of publication2017-04-03 06:16:57 UTC
MaintainerWill Nicholson <>
LicenseGPL (>= 2)

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A Man page
BigVAR Man page
BigVAR-class Man page
BigVAR.est Man page
BigVAR.est,BigVAR-method Man page
BigVAR-package Man page
BigVAR.results Man page
BigVAR.results-class Man page
constructModel Man page
cv.BigVAR Man page
cv.BigVAR,BigVAR-method Man page
MultVarSim Man page
plot Man page
plot.BigVAR Man page
plot,BigVAR-method Man page
plot,BigVAR.results-method Man page
predict Man page
predict,BigVAR.results-method Man page
show Man page
show.BigVAR Man page
show,BigVAR-method Man page
show,BigVAR.results-method Man page
SparsityPlot.BigVAR.results Man page
SparsityPlot.BigVAR.results,BigVAR.results-method Man page
VarptoVar1MC Man page
VARXFit Man page
VARXForecastEval Man page
Y Man page

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