doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.">

desla: Desparsified Lasso Inference for Time Series (original) (raw)

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.

Version: 0.3.0
Imports: Rcpp, Rdpack, stats, parallelly
LinkingTo: Rcpp, RcppArmadillo, RcppProgress, sitmo
Suggests: ggplot2
Published: 2023-06-29
DOI: 10.32614/CRAN.package.desla
Author: Robert Adamek [cre, aut], Stephan Smeekes [aut], Ines Wilms [aut]
Maintainer: Robert Adamek
BugReports: https://github.com/RobertAdamek/desla/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/RobertAdamek/desla
NeedsCompilation: yes
Materials: README, NEWS
CRAN checks: desla results

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