svazzole/sparseVAR: Sparse VAR/VECM Models Estimation

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.

Getting started

Package details

MaintainerSimone Vazzoler <svazzole@gmail.com>
LicenseGPL-2
Version0.1.0
URL http://github.com/svazzole/sparsevar
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("svazzole/sparseVAR")
svazzole/sparseVAR documentation built on April 19, 2021, 2:11 p.m.