Description Usage Arguments Value
A function to estimate a (possibly high-dimensional) multivariate VAR time series using penalized least squares methods, such as ENET, SCAD or MC+.
1 |
data |
the data from the time series: variables in columns and observations in rows |
p |
order of the VAR model |
penalty |
the penalty function to use. Possible values
are |
method |
possible values are |
... |
the options for the estimation. Global options are:
|
A
the list (of length p
) of the estimated matrices
of the process
fit
the results of the penalized LS estimation
mse
the mean square error of the cross validation
time
elapsed time for the estimation
residuals
the time series of the residuals
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