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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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Version
0.1.0
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0.0.3
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Install
install.packages('sparsevar')
Monthly Downloads
415
Version
0.0.3
License
GPL-2
Issues
2
Pull Requests
0
Stars
12
Forks
8
Repository
http://github.com/svazzole/sparsevar
Maintainer
Simone Vazzoler
Last Published
May 4th, 2016
Functions in sparsevar (0.0.3)
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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