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sparsevar (version 0.0.3)

A Package for Sparse VAR/VECM Estimation

Description

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET, SCAD and MCP.

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Install

install.packages('sparsevar')

Monthly Downloads

36

Version

0.0.3

License

GPL-2

Issues

2

Pull Requests

0

Stars

12

Forks

9

Maintainer

Simone Vazzoler

Last Published

May 4th, 2016

Functions in sparsevar (0.0.3)

l1norm

L1 matrix norm
createSparseMatrix

Create Sparse Matrix
frobNorm

Froebenius norm of a matrix
simulateVAR

VAR simulation
estimateVAR

Multivariate VAR estimation
svar

sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
estimateVECM

Multivariate VECM estimation
spectralRadius

Spectral radius
l2norm

L2 matrix norm
mcSimulations

Monte Carlo simulations
simulateVECM

VECM simulation
plotComparisonVAR

Plot VAR models for comparison
maxNorm

Max-norm of a matrix
plotVAR

VAR plot
lInftyNorm

L-infinity matrix norm
spectralNorm

Spectral norm
plotMatrix

Matrix plot