Estimates VAR and VARX models with structured Lasso Penalties.
| Version: |
1.0.6 |
| Depends: |
R (≥ 3.1.0), methods |
| Imports: |
MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppEigen |
| Published: |
2019-12-02 |
| Author: |
Will Nicholson [cre, aut],
David Matteson [aut],
Jacob Bien [aut] |
| Maintainer: |
Will Nicholson <wbn8 at cornell.edu> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
http://www.github.com/wbnicholson/BigVAR |
| NeedsCompilation: |
yes |
| SystemRequirements: |
C++11 |
| Materials: |
NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
BigVAR results |