fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series (original) (raw)
Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) <doi:10.48550/arXiv.2301.11675> accompanying the R package.
| Version: | 0.1.6 |
|---|---|
| Depends: | R (≥ 4.1.0) |
| Imports: | lpSolve, parallel, doParallel, foreach, MASS, fields, igraph, RColorBrewer |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2024-01-23 |
| DOI: | 10.32614/CRAN.package.fnets |
| Author: | Matteo Barigozzi [aut], Haeran Cho [cre, aut], Dom Owens [aut] |
| Maintainer: | Haeran Cho <haeran.cho at bristol.ac.uk> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | TimeSeries |
| CRAN checks: | fnets results |
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