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 kuleuven.be> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
http://github.com/ineswilms/bigtime |
| NeedsCompilation: |
yes |
| SystemRequirements: |
C++11 |
| In views: |
TimeSeries |
| CRAN checks: |
bigtime results |