BigVAR: Dimension Reduction Methods for Multivariate Time Series (original) (raw)
Estimates VAR and VARX models with Structured Penalties.
Version:
1.1.4
Depends:
R (≥ 3.5.0), methods, lattice
Imports:
MASS, zoo, Rcpp, stats, utils, grDevices, graphics, abind
LinkingTo:
Rcpp, RcppArmadillo, RcppEigen
Suggests:
knitr, rmarkdown, gridExtra, expm, MCS, quantmod (≥ 0.4.28), codetools, attempt
Published:
2025-11-04
DOI:
Author:
Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Maintainer:
Will Nicholson
License:
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:
https://github.com/wbnicholson/BigVAR
NeedsCompilation:
yes
Materials:
In views:
CRAN checks: