BigVAR: Dimension Reduction Methods for Multivariate Time Series
Version 1.0.2

Estimates VAR and VARX models with structured Lasso Penalties.

Getting started

Package details

AuthorWill Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Date of publication2017-04-03 06:16:57 UTC
MaintainerWill Nicholson <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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BigVAR documentation built on May 29, 2017, 3:01 p.m.