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 <>
LicenseGPL (>= 2)

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