multivar: Penalized Estimation and Forecasting of Multiple Subject Vector Autoregressive (multi-VAR) Models

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) <arXiv:2007.05052>.

Version: 0.0.2
Depends: R (≥ 2.10)
Imports: stats, utils, MASS, Rcpp (≥ 1.0.3)
LinkingTo: Rcpp, RcppArmadillo
Published: 2020-07-14
Author: Zachary Fisher [aut, cre], Younghoon Kim [aut], Vladas Pipiras [aut]
Maintainer: Zachary Fisher <fish.zachary at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: multivar results


Reference manual: multivar.pdf
Package source: multivar_0.0.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: multivar_0.0.2.tgz, r-oldrel: multivar_0.0.2.tgz
Old sources: multivar archive


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