Estimating Time-Varying k-Order Mixed Graphical Models

Estimation of k-Order time-varying Mixed Graphical Models and mixed VAR(p) models via elastic-net regularized neighborhood regression. For details see Haslbeck & Waldorp (2020) .

mgm

The package includes functions to estimate, visualize and resample time-varying k-order Mixed Graphical Models (MGMs) and mixed Vector Autoregressive (mVAR) models.

Here is a paper describing the package: https://arxiv.org/abs/1510.06871

And here are a couple of blog posts about some functions: https://jmbh.github.io/

The developmental version can be installed from within R using the devtools-package:

library(devtools) install_github("jmbh/mgm")