onlineVAR v0.1-1

0

Monthly downloads

0th

Percentile

Online Fitting of Time-Adaptive Lasso Vector Auto Regression

Functions for recursive online fitting of time-adaptive lasso vector auto regression. A recursive coordinate descent algorithm is used to estimate sparse vector auto regressive models and exponential forgetting is applied to allow model changes. Details can be found in Jakob W. Messner and Pierre Pinson (2018). "Online adaptive LASSO estimation in Vector Auto Regressive models for wind power forecasting in high dimension". International Journal of Forecasting, in press. <doi:10.1016/j.ijforecast.2018.02.001>.

Functions in onlineVAR

Name Description
plot.onlineVAR Coefficient matrix plots for onlineVAR objects.
onlineVAR Online Fitting of Time-Adaptive Lasso Vector Auto Regression.
onlineVAR.control Auxiliary Function for Controlling onlineVAR Fitting
aemo Wind power data from 22 wind farms in south eastern Australia
coef.onlineVAR Methods for onlineVAR Objects
predict.onlineVAR Predictions for onlineVAR Models
No Results!

Last month downloads

Details

Date 2019-05-05
License GPL-2 | GPL-3
NeedsCompilation yes
Packaged 2019-05-05 14:57:25 UTC; jakob
Repository CRAN
Date/Publication 2019-05-08 07:50:03 UTC
imports lattice , parallel
depends R (>= 2.10.0)
Contributors

Include our badge in your README

[![Rdoc](http://www.rdocumentation.org/badges/version/onlineVAR)](http://www.rdocumentation.org/packages/onlineVAR)