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bigtime (version 0.1.0)

Sparse Estimation of Large Time Series Models

Description

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Bien and Matteson (2017) and Wilms, Basu, Bien and Matteson (2017) .

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Install

install.packages('bigtime')

Monthly Downloads

349

Version

0.1.0

License

GPL (>= 2)

Issues

1

Pull Requests

1

Stars

31

Forks

11

Maintainer

Ines Wilms

Last Published

November 9th, 2017

Functions in bigtime (0.1.0)

X

Multivariate Time Series Example
Y

Multivariate Time Series Example
lagmatrix

Creates Lagmatrix of Estimated Coefficients
sparseVAR

Sparse Estimation of the Vector AutoRegressive (VAR) Model
sparseVARMA

Sparse Estimation of the Vector AutoRegressive Moving Average (VARMA) Model
sparseVARX

Sparse Estimation of the Vector AutoRegressive with Exogenous Variables X (VARX) Model
directforecast

Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
bigtime

bigtime: A package for obtaining sparse estimates of large time series models.