The ragt2ridgespackage provides ridge maximum likelihood estimation of vector autoregressive processes: the VAR(1), VAR(2) and VARX(1) model (more to be added). Prior knowledge may be incorporated in the estimation through a) specification of the edges believed to be absent in the time series chain graph, and b) a shrinkage target towards which the parameter estimate is shrunken for large penalty parameter values. Estimation functionality is accompanied by methodology for penalty parameter selection. In addition, the package offers supporting functionality for the exploitation of estimated models. Among others, i) a procedure to infer the support of the nonsparse ridge estimate (and thereby of the time series chain graph) is implemented, ii) a table of nodewise network summary statistics, iii) mutual information analysis, and iv) impulse response analysis. Cf. Miok et al. (2017) <DOI:10.1002/bimj.201500269> and Miok et al. (2018) <DOI:10.1002/bimj.201700195> for details on the implemented methods.
Package details 


Author  Wessel N. van Wieringen <[email protected]> 
Maintainer  Wessel N. van Wieringen <[email protected]> 
License  GPL (>= 2) 
Version  0.3.2 
URL  https://github.com/wvanwie/ragt2ridges 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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