BigVAR.est-methods: BigVAR Estimation

In BigVAR: Dimension Reduction Methods for Multivariate Time Series

BigVAR Estimation

Description

Fit a BigVAR object with a structured penalty (VARX-L or HLAG).

Usage

BigVAR.est(object)

Arguments

object

BigVAR object created from ConstructModel

Details

Fits HLAG or VARX-L model on a BigVAR object. Does not perform cross-validation. This method allows the user to construct their own penalty parameter selection procedure.

Value

An array of k \times kp \times n or k\times kp+ms \times n coefficient matrices; one for each of the n values of lambda.

See Also

constructModel, BigVAR.results,cv.BigVAR

Examples

data(Y)
Y=Y[1:100,]
#construct a Basic VAR-L
Model1=constructModel(Y,p=4,struct='Basic',gran=c(50,10))
BigVAR.est(Model1)

BigVAR documentation built on Jan. 9, 2023, 5:08 p.m.