BigVAR: Dimension Reduction Methods for Multivariate Time Series
Version 1.0.2

Estimates VAR and VARX models with structured Lasso Penalties.

AuthorWill Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Date of publication2017-04-03 06:16:57 UTC
MaintainerWill Nicholson <wbn8@cornell.edu>
LicenseGPL (>= 2)
Version1.0.2
URL http://www.github.com/wbnicholson/BigVAR
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("BigVAR")

Popular man pages

A: Generator for Simulated Multivariate Time Series
BigVAR: Dimension Reduction Methods for Multivariate Time Series.
BigVAR.results-plot-methods: Plot an object of class BigVAR.results
cv.BigVAR-methods: Cross Validation for BigVAR
predict-methods-BigVAR.results: Forecast using a BigVAR.results object
VARXForecastEval: Evaluate forecasts from a VAR or VARX with lag orders...
Y: Simulated Multivariate Time Series
See all...

All man pages Function index File listing

Man pages

A: Generator for Simulated Multivariate Time Series
BigVAR: Dimension Reduction Methods for Multivariate Time Series.
BigVAR-class: BigVAR Object Class
BigVAR.est-methods: BigVAR Estimation
BigVAR.results: BigVAR.results This class contains the results from...
BigVAR.results-plot-methods: Plot an object of class BigVAR.results
constructModel: Construct an object of class BigVAR
cv.BigVAR-methods: Cross Validation for BigVAR
MultVarSim: Simulate a VAR
plot.BigVAR-methods: Plot a BigVAR object
predict-methods-BigVAR.results: Forecast using a BigVAR.results object
show-methods: Default show method for an object of class BigVAR
show-methods-BigVAR.results: Default show method for an object of class BigVAR.results
SparsityPlot.BigVAR.results-methods: Sparsity Plot of a BigVAR.results object
VarptoVar1MC: Converts a VAR coefficient matrix of order p to multiple...
VARXFit: Fit a VAR or VARX model by least squares
VARXForecastEval: Evaluate forecasts from a VAR or VARX with lag orders...
Y: Simulated Multivariate Time Series

Functions

A Man page
ARFitVARXR Source code
BigVAR Man page
BigVAR-class Man page
BigVAR-package Man page
BigVAR.est Man page
BigVAR.est,BigVAR-method Man page
BigVAR.results Man page
BigVAR.results-class Man page
BigVAREVAL Source code
BigVAREVALX Source code
EFVARX Source code
Eigencomp Source code
EigencompOO Source code
FistaElem Source code
Fistapar Source code
GamLoopGL2 Source code
GamLoopGLOO Source code
GamLoopSGL Source code
GamLoopSGLDP Source code
GamLoopSGLOO Source code
GamLoopSGLOODP Source code
GamLoopSGLX Source code
GamLoopSGLXDP Source code
GroupLassoOO Source code
GroupLassoOOX Source code
GroupLassoVAR1 Source code
HVARCAlg Source code
HVARElemAlg Source code
HVAROOAlg Source code
ICX Source code
LGSearch Source code
LGSearchX Source code
MultVarSim Man page Source code
RelaxedLS Source code
SparseGroupLassoVAR Source code
SparseGroupLassoVARDual Source code
SparseGroupLassoVAROO Source code
SparseGroupLassoVAROOX Source code
SparseGroupLassoVARX Source code
SparseGroupLassoVARXDual Source code
SparsityPlot.BigVAR.results Man page
SparsityPlot.BigVAR.results,BigVAR.results-method Man page
VARXCons Source code
VARXFit Man page Source code
VARXForecastEval Man page Source code
VarptoVar1MC Man page Source code
Y Man page
ambdaGridE Source code
ambdaGridEDual Source code
ambdaGridX Source code
ambdaGridXDual Source code
check.BigVAR Source code
constructModel Man page Source code
cv.BigVAR Man page
cv.BigVAR,BigVAR-method Man page
diaggroupfunVARX Source code
diaggroupfunVARXL Source code
diaggroupfunVARXLG Source code
diaggroupfunVARXLGL Source code
diaggroupfunVARXcomp Source code
diaggroupfunVARXcompL Source code
evalMean Source code
evalRW Source code
findind Source code
fistaX Source code
gamloopElem Source code
gamloopFista Source code
gamloopHVAR Source code
gamloopOO Source code
groupfun Source code
groupfunVARX Source code
groupfunVARXLG Source code
groupfunVARXcomp Source code
groupfuncomp Source code
groupfuncpp Source code
lassoVARFist Source code
lassoVARFistX Source code
lassoVARTL Source code
lfunction Source code
lfunction2 Source code
lfunction2cpp Source code
lfunction3 Source code
lfunction3cpp Source code
lfunctioncomp Source code
norm2 Source code
oocumfun Source code
oofun Source code
plot Man page
plot,BigVAR-method Man page
plot,BigVAR.results-method Man page
plot.BigVAR Man page
powermethod Source code
predict Man page
predict,BigVAR.results-method Man page
predictMS Source code
predictMSX Source code
prox2 Source code
proxvx2 Source code
show Man page
show,BigVAR-method Man page
show,BigVAR.results-method Man page
show.BigVAR Man page
vecoovars Source code
vecoovarscpp Source code
vsubs Source code
vxsubs Source code

Files

inst
inst/include
inst/include/BigVAR.h
src
src/Makevars
src/BigVAR_init.c
src/ExperimentalBigVARFunctionsX.cpp
src/DataCons.cpp
src/Makevars.win
src/RcppExports.cpp
NAMESPACE
NEWS
data
data/Y.RData
data/Generator.RData
R
R/BigVARAlgorithms.R
R/BigVARObjectClass.R
R/data.R
R/RcppExports.R
R/BigVAR.R
R/BigVARSupportFunctions.R
MD5
DESCRIPTION
man
man/VARXForecastEval.Rd
man/VarptoVar1MC.Rd
man/SparsityPlot.BigVAR.results-methods.Rd
man/VARXFit.Rd
man/constructModel.Rd
man/BigVAR.est-methods.Rd
man/cv.BigVAR-methods.Rd
man/BigVAR-class.Rd
man/predict-methods-BigVAR.results.Rd
man/BigVAR.results-plot-methods.Rd
man/show-methods-BigVAR.results.Rd
man/BigVAR.results.Rd
man/plot.BigVAR-methods.Rd
man/BigVAR.Rd
man/Y.Rd
man/A.Rd
man/show-methods.Rd
man/MultVarSim.Rd
BigVAR documentation built on May 19, 2017, 12:53 p.m.

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