Online Fitting of Time-Adaptive Lasso Vector Auto Regression

Functions for recursive online fitting of time-adaptive lasso vector auto regression. A recursive coordinate descent algorithm is used to estimate sparse vector auto regressive models and exponential forgetting is applied to allow model changes. Details can be found in Jakob W. Messner and Pierre Pinson (2018). "Online adaptive LASSO estimation in Vector Auto Regressive models for wind power forecasting in high dimension". International Journal of Forecasting, in press. .


News

Changes in Version 0.1-1

o Updated citation and contact information.

Changes in Version 0.1-0

o First official release of the package on CRAN. Note that the interface of onlineVAR() is still under development and might change in future versions of the package.

Reference manual

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install.packages("onlineVAR")

0.1-1 by Jakob Messner, 4 months ago


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


Authors: Jakob Messner [aut, cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 | GPL-3 license


Imports parallel, lattice


See at CRAN