Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Bien and Matteson (2017) <arXiv:1412.5250v2> and Wilms, Basu, Bien and Matteson (2017) <arXiv:1707.09208>.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.1.0), methods |
| Imports: | MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics, corrplot |
| LinkingTo: | Rcpp, RcppArmadillo, RcppEigen |
| Published: | 2017-11-09 |
| Author: | Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut] |
| Maintainer: | Ines Wilms <ines.wilms at kuleuven.be> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://github.com/ineswilms/bigtime |
| NeedsCompilation: | yes |
| SystemRequirements: | C++11 |
| In views: | TimeSeries |
| CRAN checks: | bigtime results |
| Reference manual: | bigtime.pdf |
| Package source: | bigtime_0.1.0.tar.gz |
| Windows binaries: | r-devel: bigtime_0.1.0.zip, r-release: bigtime_0.1.0.zip, r-oldrel: bigtime_0.1.0.zip |
| macOS binaries: | r-release: bigtime_0.1.0.tgz, r-oldrel: bigtime_0.1.0.tgz |
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