BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

Version: 1.0.6
Depends: R (≥ 3.1.0), methods
Imports: MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Published: 2019-12-02
Author: Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]
Maintainer: Will Nicholson <wbn8 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: C++11
Materials: NEWS
In views: TimeSeries
CRAN checks: BigVAR results


Reference manual: BigVAR.pdf


Package source: BigVAR_1.0.6.tar.gz
Windows binaries: r-devel:, r-devel-UCRT:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): BigVAR_1.0.6.tgz, r-release (x86_64): BigVAR_1.0.6.tgz, r-oldrel: BigVAR_1.0.6.tgz
Old sources: BigVAR archive

Reverse dependencies:

Reverse imports: VIRF
Reverse suggests: frequencyConnectedness


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