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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
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Package details |
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| Author | Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut] |
| Maintainer | Ines Wilms <i.wilms@maastrichtuniversity.nl> |
| License | GPL (>= 2) |
| Version | 0.2.3 |
| URL | https://github.com/ineswilms/bigtime |
| Package repository | View on CRAN |
| Installation |
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