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multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models
Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) <arXiv:2007.05052>.
Getting started
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Package details |
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| Author | Zachary Fisher [aut, cre], Younghoon Kim [ctb], Vladas Pipiras [ctb] |
| Maintainer | Zachary Fisher <fish.zachary@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.0 |
| Package repository | View on CRAN |
| Installation |
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