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ragt2ridges (version 0.2.4)

Ridge Estimation of Vector Auto-Regressive (VAR) Processes

Description

Ridge maximum likelihood estimation of vector auto-regressive processes and supporting functions for their exploitation.

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Install

install.packages('ragt2ridges')

Monthly Downloads

80

Version

0.2.4

License

GPL (>= 2)

Issues

0

Pull Requests

0

Stars

5

Forks

3

Maintainer

Wessel van Wieringen

Last Published

April 4th, 2017

Functions in ragt2ridges (0.2.4)

centerVAR1data

Zero-centering of time-course data
createA

Generation of the VAR(1) autoregressive coefficient matrix.
optPenaltyPchordal

Automatic search for penalty parameter of ridge precision estimator with known chordal support
optPenaltyVAR1

Automatic penalty parameter selection for the VAR(1) model.
dataVAR1

Sample data from a VAR(1) model
evaluateVAR1fit

Visualize the fit of a VAR(1) model
plotVAR1data

Time series plot
ragt2ridges-package

Ridge Estimation of Vector Auto-Regressive (VAR) Processes
support4ridgeP

Support of the adjacency matrix to cliques and separators.
impulseResponseVAR1

Impulse response analysis of the VAR(1) model
CIGofVAR1

Conditional independence graphs of the VAR(1) model
array2longitudinal

Convert a time-series array to a longitudinal-object.
loglikLOOCVcontourVAR1

Contourplot of LOOCV log-likelihood of VAR(1) model
loglikVAR1

Log-likelihood of the VAR(1) model.
sparsifyVAR1

Function that determines the support of auto-regression parameter of the VARX(1) model.
loglikLOOCVVAR1

Leave-one-out (minus) cross-validated log-likelihood of VAR(1) model
longitudinal2array

Convert a longitudinal object into an array.
momentS

Moments of the sample covariance matrix.
ridgeVAR1

Ridge ML estimation of the VAR(1) model
graphVAR1

Graphs of the temporal (or contemporaneous) relations implied by the VAR(1) model
hpvP53

Time-course P53 pathway data
mutualInfoVAR1

Mutual information analysis of the VAR(1) model
nodeStatsVAR1

VAR(1) model node statistics
ridgePathVAR1

Visualize the ridge regularization paths of the parameters of the VAR(1) model
ridgePchordal

Ridge estimation for high-dimensional precision matrices with known chordal support