Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <> and Wilms, Basu, Bien and Matteson (2021) .


Reference manual

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0.2.1 by Ines Wilms, 2 months ago

Browse source code at

Authors: Ines Wilms [cre, aut] , David S. Matteson [aut] , Jacob Bien [aut] , Sumanta Basu [aut] , Will Nicholson [aut] , Enrico Wegner [aut]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports Rcpp, stats, utils, grDevices, graphics, corrplot, dplyr, ggplot2, tidyr, magrittr

Depends on methods

Linking to Rcpp, RcppArmadillo, RcppEigen

System requirements: C++11

See at CRAN