bigtime: Sparse Estimation of Large Time Series Models
Version 0.1.0

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) and Wilms, Basu, Bien and Matteson (2017) .

Getting started

Package details

AuthorInes Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut]
Date of publication2017-11-09 18:45:41 UTC
MaintainerInes Wilms <[email protected]>
LicenseGPL (>= 2)
Version0.1.0
URL http://github.com/ineswilms/bigtime
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bigtime")

Try the bigtime package in your browser

Any scripts or data that you put into this service are public.

bigtime documentation built on Nov. 17, 2017, 7:33 a.m.