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fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.
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Package details |
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| Author | Matteo Barigozzi [aut], Haeran Cho [cre, aut], Dom Owens [aut] |
| Maintainer | Haeran Cho <haeran.cho@bristol.ac.uk> |
| License | GPL (>= 3) |
| Version | 0.1.6 |
| Package repository | View on CRAN |
| Installation |
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