A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET, SCAD and MCP.
| Version: | 0.0.10 |
| Depends: | R (≥ 1.8.0) |
| Imports: | Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, flare, picasso |
| Suggests: | knitr, testthat |
| Published: | 2016-11-07 |
| Author: | Simone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut] |
| Maintainer: | Simone Vazzoler <svazzole at gmail.com> |
| BugReports: | http://github.com/svazzole/sparsevar |
| License: | GPL-2 |
| URL: | http://github.com/svazzole/sparsevar |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | sparsevar results |
| Reference manual: | sparsevar.pdf |
| Vignettes: |
Using sparsevar |
| Package source: | sparsevar_0.0.10.tar.gz |
| Windows binaries: | r-devel: sparsevar_0.0.10.zip, r-release: sparsevar_0.0.10.zip, r-oldrel: sparsevar_0.0.10.zip |
| OS X binaries: | r-release: sparsevar_0.0.10.tgz, r-oldrel: sparsevar_0.0.10.tgz |
| Old sources: | sparsevar archive |
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