sparsevar: sparsevar: A package to estimate multivariate time series...
In sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
sparsevar R Documentation
sparsevar: A package to estimate multivariate time series models
(such as VAR and VECM), under the sparsity hypothesis.
Description
It performs the estimation of the matrices of the models using penalized
least squares methods such as LASSO, SCAD and MCP.
sparsevar functions
fit_var, fit_vecm, simulate_var,
create_sparse_matrix,
plotMatrix, plotVAR, plotVECM
l2norm, l1norm, lInftyNorm, maxNorm,
frobNorm,
spectralRadius, spectralNorm, impulseResponse
Author(s)
Maintainer: Simone Vazzoler svazzole@gmail.com
See Also
Useful links:
sparsevar documentation built on Feb. 5, 2026, 1:07 a.m.
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| sparsevar | R Documentation |
sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
Description
It performs the estimation of the matrices of the models using penalized least squares methods such as LASSO, SCAD and MCP.
sparsevar functions
fit_var, fit_vecm, simulate_var,
create_sparse_matrix,
plotMatrix, plotVAR, plotVECM
l2norm, l1norm, lInftyNorm, maxNorm,
frobNorm,
spectralRadius, spectralNorm, impulseResponse
Author(s)
Maintainer: Simone Vazzoler svazzole@gmail.com
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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