bootstrapped_var

Build the bootstrapped series from the original var

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

bootstrapped_var function

<dl><dt>v</dt>
<dd>the VAR object as from fitVAR or simulateVAR</dd></dl>

Arguments

Bootstrap VAR — bootstrapped_var

<dl>

<dt>v</dt>
<dd>the VAR object as from fitVAR or simulateVAR</dd>

</dl>

bootstrapped_var: Bootstrap VAR

Description

Usage

Value

Arguments