Man pages for Dom-Owens-UoB/fnets
Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
| abc.factor.number | Factor number estimator of Alessi, Barigozzi and Capasso... |
| acf_no_center | Sample Covariance Function Without Centering |
| Bartlett.weights | Bartlett weights |
| common.irf.estimation | Blockwise VAR estimation under GDFM |
| common.predict | Forecasting the factor-driven common component |
| cross_val | internal function that carries out cross validation to choose... |
| cross_val_lag | internal function that carries out cross validation to choose... |
| cv_trunc | Truncate data, with truncation parameter chosen by... |
| data.restricted | Simulated data from the restricted factor-adjusted vector... |
| data.unrestricted | Simulated data from the unrestricted factor-adjusted vector... |
| dyn.pca | Dynamic PCA |
| ebic | extended Bayesian Information Criterion |
| factor.number | Factor number selection methods |
| f.func.full | full likelihood |
| fnets | Factor-adjusted network estimation |
| fnets.factor.model | Factor model estimation |
| fnets.glmnet | Implementing cv.glmnet for VAR estimation |
| fnets.var | 'l1'-regularised Yule-Walker estimation for VAR processes |
| fnets.var.internal | internal function for 'fnets.var' |
| hl.factor.number | Factor number estimator of Hallin and Liška (2007) |
| idio.predict | Forecasting idiosyncratic VAR process |
| logfactorial | logarithmic factorial of 'n' |
| mad_variables | internal function for 'cv_trunc' |
| network | Convert networks into igraph objects |
| network.fnets | Convert networks estimated by fnets into igraph objects |
| par.lrpc | Parametric estimation of long-run partial correlations of... |
| plot.factor.number | Plot factor number |
| plot.fnets | Plotting the networks estimated by fnets |
| plot_internal | internal function for 'plot.fnets' and 'network' |
| plot.threshold | Plotting the thresholding procedure |
| predict.fm | Forecasting for factor models |
| predict.fnets | Forecasting by fnets |
| print.factor.number | Print factor number |
| print.fm | Print factor model |
| print.fnets | Print fnets |
| print.threshold | Print threshold |
| sim.restricted | Simulate data from a restricted factor model |
| sim.unrestricted | Simulate data from an unrestricted factor model |
| sim.var | Simulate a VAR(1) process |
| static.pca | Static PCA |
| tau_grid_fun | internal function for 'cv_trunc' |
| tau_grid_stand_fun | internal function for 'cv_trunc' |
| threshold | Threshold the entries of the input matrix at a data-driven... |
| truncateAndComputeCovariance_lag | Sample Covariance Function Without Centering, after... |
| tuning_plot | Plotting output for tuning parameter selection in fnets |
| var.dantzig | Dantzig selector-type estimator of VAR processes via... |
| var.lasso | Lasso-type estimator of VAR processes via 'l1'-regularised... |
| yw.cv | Cross validation for factor-adjusted VAR estimation |
| yw.ic | Information criterion for factor-adjusted VAR estimation |
