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BigVAR (version 1.0)

Dimension Reduction Methods for Multivariate Time Series

Description

Estimates VAR and VARX models with structured Lasso Penalties.

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Version

Install

install.packages('BigVAR')

Monthly Downloads

745

Version

1.0

License

GPL (>= 2)

Issues

22

Pull Requests

1

Stars

61

Forks

18

Maintainer

Will Nicholson

Last Published

May 17th, 2016

Functions in BigVAR (1.0)

BigVAR.est

BigVAR Estimation
predict

Forecast using a BigVAR.results object
Y

Simulated Multivariate Time Series
cv.BigVAR

Cross Validation for BigVAR
plot.BigVAR

Plot a BigVAR object
BigVAR-class

BigVAR Object Class
BigVAR

Dimension Reduction Methods for Multivariate Time Series.
constructModel

Construct an object of class BigVAR
show.BigVAR

Default show method for an object of class BigVAR
SparsityPlot.BigVAR.results

Sparsity Plot of a BigVAR.results object
VARXForecastEval

Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
VARXFit

Fit a VAR or VARX model by least squares
A

Generator for Simulated Multivariate Time Series
MultVarSim

Simulate a VAR
VarptoVar1MC

Converts a VAR coefficient matrix of order p to multiple companion form
plot

Plot an object of class BigVAR.results
show

Default show method for an object of class BigVAR.results
BigVAR.results

BigVAR.results This class contains the results from cv.BigVAR.