ragt2ridges (version 0.1.9)

ragt2ridges-package: Ridge Estimation of the Vector Auto-Regressive (VAR) Processes

Description

Ridge maximum likelihood estimation of vector auto-regressive processes and supporting functions for their exploitation. Currently, it includes:

• Ridge estimation of the parameters of the first-order Vector Auto-Regressive model, commonly referred to as the VAR(1) model, through the functionridgeVAR1. This function is complemented byoptPenaltyVAR1, a function for penalty parameters selection through leave-one-out cross-validation (with supporting functionsloglikVAR1andloglikLOOCVVAR1).
• Functions for simulating VAR(1) data (createAanddataVAR1), data visualization (plotVAR1data), and some simple data manipulations (centerVAR1data,array2longitudinal, andlongitudinal2array).
• Ridge estimation of the precision matrix with known support (ridgePchordal,optPenaltyPchordal, andsupport4ridgeP).
• Some diagnostics provided throughevaluateVAR1fit,loglikLOOCVcontourVAR1, andridgePathVAR1.
• Several post-estimation analyses to exploit the fitted model. Among others: support determination of the VAR(1) model parameters (sparsifyVAR1), visualization of the (aspects of the) time-series chain graph (graphVAR1andCIGofVAR1), and summary statistics per variate in terms of the VAR(1) model and its associated time-series chain graph (nodeStatsVAR1,impulseResponseVAR1, andmutualInfoVAR1).
• Time-series omics data (hpvP53).

Future versions aim to include more functionality for time-series models.

The ragt2ridges-package is a sister-package to the rags2ridges-package, augmenting the latter 'base' package with functionality for time-course studies. Being its sibling ragt2ridges mimicks rags2ridges in the function names (compare e.g. ridgeP to ridgeVAR1). Moreover, some parts of the ragt2ridges-package not specific to time-series will be moved to the rags2ridges-package in the near future, e.g. ridgePchordal, optPenaltyPchordal, and support4ridgeP.

Details

ll{ Package: ragt2ridges Type: Package Version: 0.1.15 Date: 2016-01-24 License: GPL (>= 2) }

References

Miok, V., Wilting, S.M., Van Wieringen, W.N. (2015), "Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data", submitted.

See Also

The rags2ridges-package.