nets-package: Network Estimator for Time Series

Description Details Author(s) References

Description

The NETS package provides routines for the estimation of sparse VAR models.

Details

Package: nets
Type: Package
Version: 0.8
Date: 2016-03-01
License: GPL
LazyLoad: yes

Author(s)

Christian Brownlees

Maintainer: Christian Brownlees

References

Barigozzi, M. and Brownlees, C. (2016) NETS: Network Estimation for Time Series, Working Paper

Peng, J., Wang, P., Zhou, N. and Zhu, J. (2009), Partial Correlation Estimation by Joint Sparse Regression Model, JASA, 104, 735-746.

Meinshausen, N. and Buhlmann, P. (2006), High Dimensional Graphs and Variable Selection with the Lasso, Annals of Statistics, 34, 1436-1462.


ctbrownlees/R-Package-nets documentation built on Oct. 31, 2020, 9:15 a.m.