CRAN/E | fnets

fnets

Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Installation

About

Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2022) for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2023) accompanying the R package.

Key Metrics

Version 0.1.2
R ≥ 4.1.0
Published 2023-01-31 123 days ago
Needs compilation? no
License GPL (≥ 3)
CRAN checks fnets results

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Maintainer

Maintainer

Haeran Cho

haeran.cho@bristol.ac.uk

Authors

Matteo Barigozzi

aut

Haeran Cho

cre / aut

Dom Owens

aut

Material

README
Reference manual
Package source

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

fnets archive

Depends

R ≥ 4.1.0

Imports

lpSolve
parallel
doParallel
foreach
MASS
fields
igraph
RColorBrewer

Suggests

testthat ≥ 3.0.0