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Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.
| Version: | 0.2.3 |
| Depends: | R (≥ 3.6.0), methods |
| Imports: | Rcpp (≥ 1.0.7), stats, utils, grDevices, graphics, corrplot, dplyr, ggplot2, tidyr, magrittr |
| LinkingTo: | Rcpp, RcppArmadillo, RcppEigen |
| Published: | 2023-08-21 |
| DOI: | 10.32614/CRAN.package.bigtime |
| Author: | Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut] |
| Maintainer: | Ines Wilms <i.wilms at maastrichtuniversity.nl> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/ineswilms/bigtime |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| In views: | TimeSeries |
| CRAN checks: | bigtime results |
| Reference manual: | bigtime.pdf |
| Package source: | bigtime_0.2.3.tar.gz |
| Windows binaries: | r-devel: bigtime_0.2.3.zip, r-release: bigtime_0.2.3.zip, r-oldrel: bigtime_0.2.3.zip |
| macOS binaries: | r-release (arm64): bigtime_0.2.3.tgz, r-oldrel (arm64): bigtime_0.2.3.tgz, r-release (x86_64): bigtime_0.2.3.tgz, r-oldrel (x86_64): bigtime_0.2.3.tgz |
| Old sources: | bigtime archive |
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