l2norm

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

l2norm function

<dl><dt>m</dt>
<dd>the matrix (real or complex valued)</dd></dl>

Arguments

L2 matrix norm — l2norm

<dl>

<dt>m</dt>
<dd>the matrix (real or complex valued)</dd>

</dl>

l2norm: L2 matrix norm

Description

Usage

Value

Arguments