Package: BigVAR 1.1.1

Will Nicholson

BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties.

Authors:Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]

# Install 'BigVAR' in R:

install.packages('BigVAR', repos = c('https://wbnicholson.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

Datasets:

On CRAN:

Last updated 4 months agofrom:4c5ac153bb. Checks:1 OK, 8 WARNING. Indexed: yes.

Will Nicholson, Jacob Bien, David Matteson, Ines Wilms

Last update: 2022-10-07
Started: 2022-03-18

Help page	Topics
Generator for Simulated Multivariate Time Series	A
Dimension Reduction Methods for Multivariate Time Series.	BigVAR
BigVAR Object Class	BigVAR-class
BigVAR Estimation	BigVAR.est BigVAR.est,BigVAR-method
BigVAR.results This class contains the results from cv.BigVAR.	BigVAR.results BigVAR.results-class
Construct an object of class BigVAR	constructModel
Cross Validation for BigVAR	cv.BigVAR cv.BigVAR,BigVAR-method
Simulate a VAR	MultVarSim
Plot an object of class BigVAR.results	plot plot,BigVAR.results-method plot-methods
Plot a BigVAR object	plot,BigVAR-method plot.BigVAR
Forecast using a BigVAR.results object	predict predict,BigVAR.results-method
Default show method for an object of class BigVAR.results	show show,BigVAR.results-method
Default show method for an object of class BigVAR	show,BigVAR-method show.BigVAR
Sparsity Plot of a BigVAR.results object	SparsityPlot.BigVAR.results SparsityPlot.BigVAR.results,BigVAR.results-method
Converts a VAR coefficient matrix of order p to multiple companion form	VarptoVar1MC
Fit a VAR or VARX model by least squares	VARXFit
Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC	VARXForecastEval
Simulated Multivariate Time Series	Y