Ridge maximum likelihood estimation of vector auto-regressive processes and supporting functions for their exploitation. Currently, it includes:
Ridge estimation of the parameters of Vector Auto-Regressive models, commonly referred to as VAR models, through the functions ridgeVAR1, ridgeVAR2, ridgeVARX1 and ridgeVAR1fused. These functions are complemented by optPenaltyVAR1, optPenaltyVAR2, optPenaltyVARX1 and optPenaltyVAR1fused, functions for penalty parameters selection through (leave-one-out) cross-validation (with supporting functions loglikVAR1, loglikLOOCVVAR1,
loglikLOOCVVAR2, loglikLOOCVVARX1 and loglikLOOCVVAR1fused).
Functions for simulating VAR-type data (createA, dataVAR1, dataVAR2 and dataVARX1), data visualization (plotVAR1data), and some simple data manipulations (centerVAR1data, array2longitudinal, and longitudinal2array).
Some diagnostics provided through evaluateVAR1fit, loglikLOOCVcontourVAR1, and ridgePathVAR1.
Several post-estimation analyses to exploit the fitted model. Among others: support determination of the various VAR model parameters (sparsifyVAR1, sparsifyVAR2, sparsifyVARX1), visualization of the (aspects of the) time-series chain graph (graphVAR1, graphVAR2, graphVARX1, CIGofVAR1 and CIGofVAR2), and summary statistics per variate in terms of the VAR(1) model and its associated time-series chain graph (nodeStatsVAR1, motifStatsVAR1, impulseResponseVAR1, and mutualInfoVAR1). The latter are also available for the VAR(2) and VARX(1) models: impulseResponseVAR2, impulseResponseVARX1 and mutualInfoVAR2).
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).
| Package: | ragt2ridges |
| Type: | Package |
| Version: | 0.3.3 |
| Date: | 2019-12-05 |
| License: | GPL (>= 2) |
Miok, V., Wilting, S.M., Van Wieringen, W.N. (2017), ``Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data'', Biometrical Journal, 59(1), 172-191.
Miok, V., Wilting, S.M., Van Wieringen, W.N. (2019), ``Ridge estimation of network models from time-course omics data'', Biometrical Journal, 61(2), 391-405.
The rags2ridges-package.