autovarCore: Automated Vector Autoregression Models and Networks
Version 1.0-0

Automatically find the best vector autoregression models and networks for a given time series data set. 'AutovarCore' evaluates eight kinds of models: models with and without log transforming the data, lag 1 and lag 2 models, and models with and without day dummy variables. For each of these 8 model configurations, 'AutovarCore' evaluates all possible combinations for including outlier dummies (at 2.5x the standard deviation of the residuals) and retains the best model. Model evaluation includes the Eigenvalue stability test and a configurable set of residual tests. These eight models are further reduced to four models because 'AutovarCore' determines whether adding day dummies improves the model fit.

Package details

AuthorAndo Emerencia [aut, cre]
Date of publication2015-07-01 14:41:42
MaintainerAndo Emerencia <[email protected]>
LicenseMIT + file LICENSE
Version1.0-0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("autovarCore")

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autovarCore documentation built on May 29, 2017, 9:22 p.m.