network.fnets: Convert networks estimated by fnets into igraph objects

In fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Convert networks estimated by fnets into igraph objects

Description

Converts S3 objects of class fnets into a network. Produces an igraph object for the three networks underlying factor-adjusted VAR processes: (i) directed network representing Granger causal linkages, as given by estimated VAR transition matrices summed across the lags, (ii) undirected network representing contemporaneous linkages after accounting for lead-lag dependence, as given by partial correlations of VAR innovations, (iii) undirected network summarising (i) and (ii) as given by long-run partial correlations of VAR processes. When plotting the network, note that the edge weights may be negative since they correspond to the entries of the estimators of VAR parameters and (long-run) partial correlations.

Usage

## S3 method for class 'fnets'
network(
  object,
  type = c("granger", "pc", "lrpc"),
  names = NA,
  groups = NA,
  group.colours = NA,
  ...
)

Arguments

object	fnets object
type	a string specifying which of the above three networks (i)–(iii) to visualise; possible values are "granger" directed network representing Granger causal linkages "pc" undirected network representing contemporaneous linkages; available when object$do.lrpc = TRUE "lrpc" undirected network summarising Granger causal and contemporaneous linkages; available when x$do.lrpc = TRUE
names	a character vector containing the names of the vertices
groups	an integer vector denoting any group structure of the vertices
group.colours	a vector denoting colours corresponding to groups
...	additional arguments to igraph::graph_from_adjacency_matrix

Value

a list containing

network	igraph object
names	input argument
groups	input argument
grp.col	vector of colours corresponding to each node
...	additional arguments to igraph::graph_from_adjacency_matrix

See Also

fnets, plot.fnets

Examples

out <- fnets(data.unrestricted,
  do.threshold = TRUE,
  var.args = list(n.cores = 2)
)
net <- network(out, type = "granger")$network
plot(net, layout = igraph::layout_in_circle(net))
network(out, type = "pc")
network(out, type = "lrpc")

fnets documentation built on May 29, 2024, 8:42 a.m.