sparsevar (version 0.0.3)

estimateVAR: Multivariate VAR estimation

Description

A function to estimate a (possibly high-dimensional) multivariate VAR time series using penalized least squares methods, such as ENET, SCAD or MC+.

Usage

estimateVAR(data, p = 1, penalty = "ENET", options = NULL)

Arguments

data

the data from the time series: variables in columns and observations in rows

p

order of the VAR model

penalty

the penalty function to use. Possible values are "ENET", "SCAD" or "MCP"

options

list of options for the function. Global options are: threshold: TRUE or FALSE. If TRUE all the entries smaller than the oracle threshold are set to zero. scale scale the data?

Value

• A the list (of length p) of the estimated matrices of the process

  fit the results of the penalized LS estimation

  mse the mean square error of the cross validation

  time elapsed time for the estimation