bigtime0.2.3 package

bigtime: A package for obtaining sparse estimates of large time series...

Creates a random coefficient matrix

diagnostics_plot function for VAR models

diagnostics_plot function for VARMA models

diagnostics_plot function for VARX models

Creates a Diagnostic Plot

Function to obtain h-step ahead direct forecast based on estimated VAR...

Internal function to plot the diagnostics plot

Calculates ICs

Recursively forecast a VAR

Gives the fitted values of a model estimated using sparseVAR

Gives the fitted values of a model estimated using sparseVARMA

Gives the fitted values of a model estimated using sparseVARX

Calculates the Information Criteria for a model estimated using `spars...

Calculates the Information Criteria for a model estimated using `spars...

Calculates the Information Criteria for a VAR, VARX, VARMA model

Selects the optimal penalty parameter using information criteria

Checks whether a VAR is stable

Creates Lagmatrix of Estimated Coefficients

Pipe operator

Plots Recursive Forecasts

Plots a simulated VAR

Plot the Cross Validation Error Curve for a Sparse VAR or VARX

Recursively Forecasts a VAR

Reduces the third dimension of a cube and returns a data frame

Gives the residuals for VAR models estimated using sparseVAR

Gives the residuals for VARMA models estimated using sparseVARMA

Gives the residuals for VARX models estimated using sparseVARX

Simulates a VAR(p) with various sparsity patterns

Sparse Estimation of the Vector AutoRegressive (VAR) Model

Sparse Estimation of the Vector AutoRegressive Moving Average (VARMA) ...

Sparse Estimation of the Vector AutoRegressive with Exogenous Variable...

Gives a small summary of a VAR simulation

VARX Time Series Example (varx.example)

VAR Time Series Example (var.example)

VARMA Time Series Example (varma.example)

VARX Time Series Example (varx.example)