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Vector autoregressive (VAR) model is a fundamental and effective approach for multivariate time series analysis. Shrinkage estimation methods can be applied to high-dimensional VAR models with dimensionality greater than the number of observations, contrary to the standard ordinary least squares method. This package is an integrative package delivering nonparametric, parametric, and semiparametric methods in a unified and consistent manner, such as the multivariate ridge regression in Golub, Heath, and Wahba (1979) <doi:10.2307/1268518>, a James-Stein type nonparametric shrinkage method in Opgen-Rhein and Strimmer (2007) <doi:10.1186/1471-2105-8-S2-S3>, and Bayesian estimation methods using noninformative and informative priors in Lee, Choi, and S.-H. Kim (2016) <doi:10.1016/j.csda.2016.03.007> and Ni and Sun (2005) <doi:10.1198/073500104000000622>.
Version: | 0.3.1 |
Depends: | R (≥ 3.5.0) |
Imports: | vars (≥ 1.5.3), ars (≥ 0.6), corpcor (≥ 1.6.9), strucchange, stats, MASS, mvtnorm |
Suggests: | knitr, rmarkdown, rticles, kableExtra |
Published: | 2019-10-09 |
DOI: | 10.32614/CRAN.package.VARshrink |
Author: | Namgil Lee |
Maintainer: | Namgil Lee <namgil.lee at kangwon.ac.kr> |
BugReports: | https://github.com/namgillee/VARshrink/issues/ |
License: | GPL-3 |
URL: | https://github.com/namgillee/VARshrink/ |
NeedsCompilation: | no |
Materials: | README NEWS |
In views: | TimeSeries |
CRAN checks: | VARshrink results |
Reference manual: | VARshrink.pdf |
Vignettes: |
Article for VARshrink |
Package source: | VARshrink_0.3.1.tar.gz |
Windows binaries: | r-devel: VARshrink_0.3.1.zip, r-release: VARshrink_0.3.1.zip, r-oldrel: VARshrink_0.3.1.zip |
macOS binaries: | r-release (arm64): VARshrink_0.3.1.tgz, r-oldrel (arm64): VARshrink_0.3.1.tgz, r-release (x86_64): VARshrink_0.3.1.tgz, r-oldrel (x86_64): VARshrink_0.3.1.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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