plot.NetVAR

Vector AutoRegressive (VAR) type models with tailored regularisation structures are provided to uncover network type structures in the data, such as influential time series (influencers). Currently the package implements the LISAR model from Zhang and Trimborn (2023) <doi:10.2139/ssrn.4619531>. The package automatically derives the required regularisation sequences and refines it during the estimation to provide the optimal model. The package allows for model optimisation under various loss functions such as Mean Squared Forecasting Error (MSFE), Akaike Information Criterion (AIC), and Bayesian Information Criterion (BIC). It provides a dedicated class, allowing for summary prints of the optimal model and a plotting function to conveniently analyse the optimal model via heatmaps.

Simon Trimborn

NetVAR

Network Structures in VAR Models

plot.NetVAR function

<dl><dt>x</dt>
<dd>An object of <code>class</code> NetVAR</dd>
<dt>join_graphs</dt>
<dd>Logical. If TRUE, then heatmaps for each lagged 
parameter matrix are returned in one plot. If FALSE, a single figure per 
heatmap is generated.</dd>
<dt>scale_range</dt>
<dd>Logical. If TRUE, parameters larger 1 or smaller -1 are 
truncated to 1 and -1 purely for visualisation purposes. If FALSE, then the 
actual values are plotted in the heatmaps.</dd>
<dt>legend</dt>
<dd>Add a legend to plots. Default FALSE</dd>
<dt>...</dt>
<dd>Further arguments, currently none.</dd></dl>

Arguments

Plotting function for objects of class NetVAR — plot.NetVAR

<dl>

<dt>x</dt>
<dd>An object of <code>class</code> NetVAR</dd>


<dt>join_graphs</dt>
<dd>Logical. If TRUE, then heatmaps for each lagged 
parameter matrix are returned in one plot. If FALSE, a single figure per 
heatmap is generated.</dd>


<dt>scale_range</dt>
<dd>Logical. If TRUE, parameters larger 1 or smaller -1 are 
truncated to 1 and -1 purely for visualisation purposes. If FALSE, then the 
actual values are plotted in the heatmaps.</dd>


<dt>legend</dt>
<dd>Add a legend to plots. Default FALSE</dd>


<dt>...</dt>
<dd>Further arguments, currently none.</dd>

</dl>

plot.NetVAR: Plotting function for objects of class NetVAR

Description

Usage

Value

Arguments