CRAN/E | multivar

multivar

Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Installation

About

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) .

Key Metrics

Version 1.1.0
R ≥ 2.10
Published 2022-05-27 706 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks multivar results

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Maintainer

Maintainer

Zachary Fisher

fish.zachary@gmail.com

Authors

Zachary Fisher

aut / cre

Younghoon Kim

ctb

Vladas Pipiras

ctb

Material

README
Reference manual
Package source

Vignettes

Getting Started with multi-VAR

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

multivar archive

Depends

R ≥ 2.10

Imports

methods
stats
utils
MASS
Rcpp ≥ 1.0.3
Matrix
ggplot2
vars
reshape2
glmnet

Suggests

knitr
rmarkdown

LinkingTo

Rcpp
RcppArmadillo