max_norm

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

max_norm function

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

Arguments

Max-norm of a matrix — max_norm

<dl>

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

</dl>

max_norm: Max-norm of a matrix

Description

Usage

Value

Arguments