bigtime: Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Bien and Matteson (2017) <arXiv:1412.5250v2> and Wilms, Basu, Bien and Matteson (2017) <arXiv:1707.09208>.

Version: 0.1.0
Depends: R (≥ 3.1.0), methods
Imports: MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics, corrplot
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Published: 2017-11-09
Author: Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut]
Maintainer: Ines Wilms <ines.wilms at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: C++11
In views: TimeSeries
CRAN checks: bigtime results


Reference manual: bigtime.pdf
Package source: bigtime_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: bigtime_0.1.0.tgz, r-oldrel: bigtime_0.1.0.tgz


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