Dom-Owens-UoB/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.

install.packages("remotes")
remotes::install_github("Dom-Owens-UoB/fnets")