Overview | Roadmap | Installation | Quick Start | Notation and Methodology | Example Sparsity Patterns | VARX-L | HLAG | Additional Penalties | BigVAR Details | Input Arguments | Penalty Parameter Selection | Rolling Extension | Leave One Out Validation | Diagnostics | Prediction | Coefficients | Example Data | Extensions | Fit with fixed, known $\lambda$ | N-fold cross validation | Information Criterion Benchmarks | Selecting a Structure | Impulse Response Functions | References
Package: BigVAR 1.1.1
BigVAR: Dimension Reduction Methods for Multivariate Time Series
Estimates VAR and VARX models with Structured Penalties.
Authors:
BigVAR_1.1.1.tar.gz
BigVAR_1.1.1.zip(r-4.7-x86_64)BigVAR_1.1.1.zip(r-4.7-arm64)BigVAR_1.1.1.zip(r-4.6-x86_64)BigVAR_1.1.1.zip(r-4.6-arm64)
BigVAR_1.1.1.tgz(r-4.6-x86_64)BigVAR_1.1.1.tgz(r-4.6-arm64)
BigVAR_1.1.1.tar.gz(r-4.7-arm64)BigVAR_1.1.1.tar.gz(r-4.7-x86_64)BigVAR_1.1.1.tar.gz(r-4.6-arm64)BigVAR_1.1.1.tar.gz(r-4.6-x86_64)
BigVAR_1.1.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
BigVAR/json (API)
| # Install 'BigVAR' in R: |
| install.packages('BigVAR', repos = c('https://wbnicholson.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/wbnicholson/bigvar/issues
Last updated from:33cf5f048d. Checks:10 WARNING, 2 OK, 3 FAIL. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | WARNING | 145 | ||
| linux-devel-x86_64 | WARNING | 160 | ||
| source / vignettes | OK | 277 | ||
| linux-release-arm64 | WARNING | 112 | ||
| linux-release-x86_64 | WARNING | 147 | ||
| macos-release-arm64 | WARNING | 105 | ||
| macos-release-x86_64 | WARNING | 266 | ||
| macos-oldrel-arm64 | FAIL | 96 | ||
| macos-oldrel-x86_64 | FAIL | 234 | ||
| windows-devel-arm64 | WARNING | 368 | ||
| windows-devel-x86_64 | WARNING | 171 | ||
| windows-release-arm64 | WARNING | 347 | ||
| windows-release-x86_64 | WARNING | 144 | ||
| windows-oldrel-x86_64 | FAIL | 70 | ||
| wasm-release | OK | 107 |
Exports:BigVAR.estBigVAR.fitcoefconstructModelcv.BigVARMultVarSimplotpredictPredictVARXshowSparsityPlot.BigVAR.resultsVarptoVar1MCVARXFitVARXForecastEvalVARXLagCons
