Y.varx

<p>The data consists of a 200x3 matrix of endogenous variables, <code>Y.varx</code>,
and a 200x3 matrix of exogenous variables, <code>X.varx</code>.</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.varx function

<p>Two matrices, <code>X.varx</code> and <code>Y.varx</code>, both of dimension 200x3</p>

Format

VARX Time Series Example (varx.example) — Y.varx

VARX Time Series Example (<code>varx.example</code>)

Y.varx: VARX Time Series Example (`varx.example`)

Description

Usage

Arguments

Format