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, Bien and Matteson (2017) and Wilms, Basu, Bien and Matteson (2017) .


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.0 by Ines Wilms, 3 years ago

Browse source code at

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

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

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

Depends on methods

Linking to Rcpp, RcppArmadillo, RcppEigen

System requirements: C++11

See at CRAN