Learn R Programming

onlineVAR (version 0.1-1)

Online Fitting of Time-Adaptive Lasso Vector Auto Regression

Description

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. .

Copy Link

Version

Install

install.packages('onlineVAR')

Monthly Downloads

17

Version

0.1-1

License

GPL-2 | GPL-3

Maintainer

Jakob Messner

Last Published

May 8th, 2019

Functions in onlineVAR (0.1-1)

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