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) .


News

Reference manual

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

install.packages("bigtime")

0.1.0 by Ines Wilms, a year ago


http://github.com/ineswilms/bigtime


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


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