This package is designed for time series data. Fits Vector Autoregressive models and Vector Autoregressive models with Exogenous Inputs. For speedup, fastVAR can use multiple cpu cores to calculate the estimates. For very large systems, fastVAR uses Lasso penalty to return very sparse coefficient matrices. Regression diagnostics can be used to compare models, and prediction functions can be used to calculate the n-step ahead prediction.
Package details |
|
---|---|
Author | Jeffrey Wong |
Maintainer | <jeff.ct.wong@gmail.com> |
License | GPL |
Version | 1.9.9 |
URL | https://github.com/jeffwong/fastVAR |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.