Estimates VAR and VARX models with structured Lasso Penalties.

Documentation

Manual: BigVAR.pdf
Vignette: None available.

Maintainer: Will Nicholson <wbn8 at cornell.edu>

Author(s): Will Nicholson*, David Matteson*, Jacob Bien*

Install package and any missing dependencies by running this line in your R console:

install.packages("BigVAR")

Depends R (>= 3.1.0), methods
Imports MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics
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Linking to Rcpp, RcppArmadillo, RcppEigen
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Package BigVAR
Materials
URL http://www.github.com/wbnicholson/BigVAR
Task Views TimeSeries
Version 1.0.2
Published 2017-04-03
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks BigVAR check results
Package source BigVAR_1.0.2.tar.gz