onlineVAR v0.1-1
0
Monthly downloads
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
[](http://www.rdocumentation.org/packages/onlineVAR)