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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Zachary Fisher, a year ago
Browse source code at
Zachary Fisher [aut, cre]
Younghoon Kim [aut]
Vladas Pipiras [aut]
GPL (>= 2)
Imports stats, utils, MASS, Rcpp
Linking to Rcpp, RcppArmadillo
See at CRAN