BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

AuthorWill Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Date of publication2016-05-25 16:02:27
MaintainerWill Nicholson <wbn8@cornell.edu>
LicenseGPL (>= 2)
Version1.0.1
http://www.github.com/wbnicholson/BigVAR

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