decompose_pi

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

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

decompose_pi function

<dl><dt>vecm</dt>
<dd>the VECM object</dd>
<dt>rk</dt>
<dd>rank</dd>
<dt>...</dt>
<dd>options for the function (TODO: specify)</dd></dl>

Arguments

Decompose Pi VECM matrix — decompose_pi

<dl>

<dt>vecm</dt>
<dd>the VECM object</dd>


<dt>rk</dt>
<dd>rank</dd>


<dt>...</dt>
<dd>options for the function (TODO: specify)</dd>

</dl>

decompose_pi: Decompose Pi VECM matrix

Description

Usage

Value

Arguments