BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Getting started

Package details

AuthorWill Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
MaintainerWill Nicholson <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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BigVAR documentation built on Dec. 2, 2019, 9:06 a.m.