ineswilms/bigtime: Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Getting started

Package details

MaintainerInes Wilms <i.wilms@maastrichtuniversity.nl>
LicenseGPL (>= 2)
Version0.2.3
URL https://github.com/ineswilms/bigtime
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("ineswilms/bigtime")
ineswilms/bigtime documentation built on Aug. 24, 2023, 6:57 a.m.