lavar_fit: Time-varying Lasso model
In emissarydingx/tvvar_v1.0: Fit time-varying models for VAR data
Description
Usage
Arguments
Value
Description
Fit a time-varying Lasso model for vector autoregressive data
Usage
1
lavar_fit(it, X, lam, b, alpha, A_old, A_oldold)
Arguments
it
Specify the time point we are researching
X
T*d array which stores the data of the time series. T is the length of time and d is the dimension.
lam
shrinkage parameter
b
bandwidth
alpha
stepsize
A_old
initial matrix 1
A_oldold
initial matrix 2
Value
Estimation of transition matrix at time it
emissarydingx/tvvar_v1.0 documentation built on May 16, 2019, 5:09 a.m.
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Description Usage Arguments Value
Description
Fit a time-varying Lasso model for vector autoregressive data
Usage
1 | lavar_fit(it, X, lam, b, alpha, A_old, A_oldold)
|
Arguments
it |
Specify the time point we are researching |
X |
T*d array which stores the data of the time series. T is the length of time and d is the dimension. |
lam |
shrinkage parameter |
b |
bandwidth |
alpha |
stepsize |
A_old |
initial matrix 1 |
A_oldold |
initial matrix 2 |
Value
Estimation of transition matrix at time it
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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