var.dantzig

<p>Dantzig selector-type estimator of VAR processes via constrained <code>l1</code>-minimisation</p>

internal

Implements methods for network estimation and forecasting of high-dimensional time series
exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model.
See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and
Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.

Haeran Cho

fnets

Factor-Adjusted Network Estimation and Forecasting for
High-Dimensional Time Series

Matteo Barigozzi

Dom Owens

var.dantzig function

Dantzig selector-type estimator of VAR processes via constrained l1-minimisation — var.dantzig

Dantzig selector-type estimator of VAR processes via constrained <code>l1</code>-minimisation

var.dantzig: Dantzig selector-type estimator of VAR processes via constrained `l1`-minimisation

Description

Usage

Arguments