var_mcp

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

var_mcp function

<dl><dt>data</dt>
<dd>the data</dd>
<dt>p</dt>
<dd>the order of the VAR</dd>
<dt>lambdas</dt>
<dd>a vector containing the lambdas to be used in the fit</dd>
<dt>opt</dt>
<dd>a list containing the options</dd></dl>

Arguments

VAR MCP — var_mcp

<dl>

<dt>data</dt>
<dd>the data</dd>


<dt>p</dt>
<dd>the order of the VAR</dd>


<dt>lambdas</dt>
<dd>a vector containing the lambdas to be used in the fit</dd>


<dt>opt</dt>
<dd>a list containing the options</dd>

</dl>

var_mcp: VAR MCP

Description

Usage

Value

Arguments