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.

Getting started

Package details

AuthorMatteo Barigozzi [aut], Haeran Cho [cre, aut], Dom Owens [aut]
MaintainerHaeran Cho <haeran.cho@bristol.ac.uk>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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fnets documentation built on May 29, 2024, 8:42 a.m.