Dimension Reduction Methods for Multivariate Time Series
Generator for Simulated Multivariate Time Series
BigVAR Object Class
BigVAR Estimation
Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.intermediate This class contains the in-sample results for cv.B...
Dimension Reduction Methods for Multivariate Time Series.
Default coef method BigVAR-results, returns the last coefficient matri...
Plot an object of class BigVAR.results
BigVAR.results This class contains the results from cv.BigVAR.
Construct an object of class BigVAR
Cross Validation for BigVAR
Simulate a VAR
Plot a BigVAR object
Forecast using a BigVAR.results object
One-step ahead predictions for VARX models
Default show method for an object of class BigVAR.results
Default show method for an object of class BigVAR
Sparsity Plot of a BigVAR.results object
Converts a VAR coefficient matrix of order p to multiple companion for...
Fit a VAR or VARX model by least squares
Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/...
Construct a VAR or VARX lag matrix
Example quarterly macroeconomic data
Estimates VAR and VARX models with Structured Penalties.