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) .


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install.packages("multivar")

0.0.2 by Zachary Fisher, 3 months ago


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


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