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BigVAR (version 1.1.2)
Dimension Reduction Methods for Multivariate Time Series
Description
Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)
and Nicholson et al (2020)
.
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Version
1.1.2
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Install
install.packages('BigVAR')
Monthly Downloads
549
Version
1.1.2
License
GPL (>= 2)
Issues
20
Pull Requests
0
Stars
57
Forks
17
Repository
https://github.com/wbnicholson/BigVAR
Maintainer
Will Nicholson
Last Published
January 9th, 2023
Functions in BigVAR (1.1.2)
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VARXFit
Fit a VAR or VARX model by least squares
plot.BigVAR
Plot a BigVAR object
cv.BigVAR
Cross Validation for BigVAR
VARXLagCons
Construct a VAR or VARX lag matrix
VARXForecastEval
Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
show.BigVAR
Default show method for an object of class BigVAR
Y
Simulated Multivariate Time Series
constructModel
Construct an object of class BigVAR
VarptoVar1MC
Converts a VAR coefficient matrix of order p to multiple companion form
show
Default show method for an object of class BigVAR.results
predict
Forecast using a BigVAR.results object
SparsityPlot.BigVAR.results
Sparsity Plot of a BigVAR.results object
PredictVARX
One-step ahead predictions for VARX models
coef
Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
plot
Plot an object of class BigVAR.results
BigVAR.fit
Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.intermediate
BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
A
Generator for Simulated Multivariate Time Series
BigVAR-class
BigVAR Object Class
BigVAR
Dimension Reduction Methods for Multivariate Time Series.
BigVAR.results
BigVAR.results This class contains the results from cv.BigVAR.
MultVarSim
Simulate a VAR
BigVAR.est
BigVAR Estimation