Penalized Estimation and Forecasting of Multiple Subject Vector Autoregressive (multi-VAR) Models

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) .


Reference manual

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0.0.2 by Zachary Fisher, a year ago

Browse source code at

Authors: Zachary Fisher [aut, cre] , Younghoon Kim [aut] , Vladas Pipiras [aut]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports stats, utils, MASS, Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN