A wrapper for sparse VAR/VECM time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Sumanta Basu and George Michailidis
<doi:10.1214/15-AOS1315>.
| Version: |
0.0.11 |
| Depends: |
R (≥ 1.8.0) |
| Imports: |
Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, picasso, corpcor |
| Suggests: |
knitr, testthat |
| Published: |
2019-08-19 |
| Author: |
Simone Vazzoler [aut, cre] |
| Maintainer: |
Simone Vazzoler <svazzole at gmail.com> |
| BugReports: |
http://github.com/svazzole/sparsevar |
| License: |
GPL-2 |
| URL: |
http://github.com/svazzole/sparsevar |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
sparsevar results |