BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Author
Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Date of publication
2016-05-25 16:02:27
Maintainer
Will Nicholson <wbn8@cornell.edu>
License
GPL (>= 2)
Version
1.0.1
URLs

View on CRAN

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

Files in this package

BigVAR
BigVAR/inst
BigVAR/inst/include
BigVAR/inst/include/BigVAR.h
BigVAR/src
BigVAR/src/Makevars
BigVAR/src/ExperimentalBigVARFunctionsX.cpp
BigVAR/src/DataCons.cpp
BigVAR/src/Makevars.win
BigVAR/src/RcppExports.cpp
BigVAR/NAMESPACE
BigVAR/NEWS
BigVAR/data
BigVAR/data/Y.RData
BigVAR/data/Generator.RData
BigVAR/R
BigVAR/R/BigVARAlgorithms.R
BigVAR/R/BigVARObjectClass.R
BigVAR/R/data.R
BigVAR/R/RcppExports.R
BigVAR/R/BigVAR.R
BigVAR/R/BigVARSupportFunctions.R
BigVAR/MD5
BigVAR/DESCRIPTION
BigVAR/man
BigVAR/man/VARXForecastEval.Rd
BigVAR/man/VarptoVar1MC.Rd
BigVAR/man/SparsityPlot.BigVAR.results-methods.Rd
BigVAR/man/VARXFit.Rd
BigVAR/man/constructModel.Rd
BigVAR/man/BigVAR.est-methods.Rd
BigVAR/man/cv.BigVAR-methods.Rd
BigVAR/man/BigVAR-class.Rd
BigVAR/man/predict-methods-BigVAR.results.Rd
BigVAR/man/BigVAR.results-plot-methods.Rd
BigVAR/man/show-methods-BigVAR.results.Rd
BigVAR/man/BigVAR.results.Rd
BigVAR/man/plot.BigVAR-methods.Rd
BigVAR/man/BigVAR.Rd
BigVAR/man/Y.Rd
BigVAR/man/A.Rd
BigVAR/man/show-methods.Rd
BigVAR/man/MultVarSim.Rd