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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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Install
install.packages('BigVAR')
Monthly Downloads
554
Version
1.0
License
GPL (>= 2)
Issues
20
Pull Requests
0
Stars
57
Forks
17
Repository
http://www.github.com/wbnicholson/BigVAR
Maintainer
Will Nicholson
Last Published
May 17th, 2016
Functions in BigVAR (1.0)
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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.