CRAN/E | BigVAR

BigVAR

Dimension Reduction Methods for Multivariate Time Series

Installation

About

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)doi:10.1016/j.ijforecast.2017.01.003 and Nicholson et al (2020) doi:10.48550/arXiv.1412.5250.

github.com/wbnicholson/BigVAR
System requirements C++11
Bug report File report

Key Metrics

Version 1.1.2
R ≥ 3.5.0
Published 2023-01-09 444 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks BigVAR results

Downloads

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Maintainer

Maintainer

Will Nicholson

wbn8@cornell.edu

Authors

Will Nicholson

cre / aut

David Matteson

aut

Jacob Bien

aut

Ines Wilms

aut

Material

NEWS
Reference manual
Package source

In Views

TimeSeries

Vignettes

BigVAR: Tools for Modeling Sparse Vector Autoregressions with Exogenous Variables

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

BigVAR archive

Depends

R ≥ 3.5.0
methods
lattice

Imports

MASS
zoo
Rcpp
stats
utils
grDevices
graphics
abind

Suggests

knitr
rmarkdown
gridExtra
expm
MCS
quantmod
codetools

LinkingTo

Rcpp
RcppArmadillo
RcppEigen

Reverse Imports

VIRF

Reverse Suggests

frequencyConnectedness