Y.varma

<p>The data consists of a 200x3 data matrix, <code>Y.varma</code>, and was simulated from a
sparse VARMA model.</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.varma function

Format

VARMA Time Series Example (varma.example) — Y.varma

VARMA Time Series Example (<code>varma.example</code>)

Y.varma: VARMA Time Series Example (`varma.example`)

Description

Usage

Arguments

Format