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, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Getting started

Package details

AuthorInes Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut]
MaintainerInes Wilms <i.wilms@maastrichtuniversity.nl>
LicenseGPL (>= 2)
Version0.2.1
URL https://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")

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bigtime documentation built on Aug. 9, 2021, 5:06 p.m.