plot_cv

Plot the Cross Validation Error Curve for a Sparse VAR or VARX

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

plot_cv function

<dl><dt>fit</dt>
<dd>Fitted VAR, VARMA or VARX model.
returned by <code>sparseVAR</code>, <code>sparseVARMA</code> or <code>sparseVARX</code>.</dd>
<dt>...</dt>
<dd>Not currently used</dd></dl>

Arguments

Plot the Cross Validation Error Curve for a Sparse VAR or VARX — plot_cv

<dl>

<dt>fit</dt>
<dd>Fitted VAR, VARMA or VARX model.
returned by <code>sparseVAR</code>, <code>sparseVARMA</code> or <code>sparseVARX</code>.</dd>


<dt>...</dt>
<dd>Not currently used</dd>

</dl>

plot_cv: Plot the Cross Validation Error Curve for a Sparse VAR or VARX

Description

Usage

Arguments