bigtime: Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Bien and Matteson (2017) <arXiv:1412.5250v2> and Wilms, Basu, Bien and Matteson (2017) <arXiv:1707.09208>.

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Package details

AuthorInes Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut]
MaintainerInes Wilms <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bigtime documentation built on May 2, 2019, 11:28 a.m.