BigVAR1.1.2 package

Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.

  • Maintainer: Will Nicholson
  • License: GPL (>= 2)
  • Last published: 2023-01-09