njetzel/ngc: Methods for Estimating Graphical Granger Causality

This package implements methods for estimating graphical Granger causality. It implements the truncating lasso and adaptively thresholded lasso methods for longitudinal and time series data. These methods are described in Shojaie and Michailidis 2010 and Shojaie et al 2011.

install.packages("remotes")
remotes::install_github("njetzel/ngc")