Y.var

<p>The data consists of a 200x5 data matrix, <code>Y.var</code>, and was simulated from a sparse
VAR model with HLag sparsity pattern.</p>

datasets

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, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Ines Wilms

bigtime

Sparse Estimation of Large Time Series Models

David S. Matteson

Jacob Bien

Sumanta Basu

Will Nicholson

Enrico Wegner

Y.var function

Format

VAR Time Series Example (var.example) — Y.var

VAR Time Series Example (<code>var.example</code>)

Y.var: VAR Time Series Example (`var.example`)

Description

Usage

Arguments

Format