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) < https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) .


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install.packages("bigtime")

0.2.0 by Ines Wilms, a month ago


https://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] , 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