Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

News

BigVAR v 1.0.3 (Release date: 2018-07-22)

Changes:

Fixed Rcpp conflict due to calling max of a List object.
Added support for rolling window estimation
Added support for Bayesian VAR method from Banbura et al (2010)
Expanded BigVAR results to save all coefficient matrices estimated in evaluation period as well as all predictions

Reference manual

install.packages("BigVAR")

1.0.3 by Will Nicholson, 6 months ago

http://www.github.com/wbnicholson/BigVAR

Browse source code at https://github.com/cran/BigVAR

Authors: c( person("Will" , "Nicholson" , email = "[email protected]" , role = c("cre" , "aut")) , person("David" , "Matteson" , email = "[email protected]" , role = "aut") , person("Jacob" , "Bien" , email = "[email protected]" , role = "aut"))

Documentation: PDF Manual

Task views: Time Series Analysis

GPL (>= 2) license

Imports MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics

Depends on methods

Linking to Rcpp, RcppArmadillo, RcppEigen

System requirements: C++11

Suggested by frequencyConnectedness.

See at CRAN