lavar_fit: Time-varying Lasso model

Description Usage Arguments Value

View source: R/VAR_lib_package_building.R

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 13, 2017, 6:04 p.m.