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Fits balanced-panel autoregressive models with conditional heteroscedasticity for temporal risk detection. The main estimator combines autoregressive exogenous mean modeling with GARCH-X variance modeling, subject-specific baseline terms, shared population coefficients, and L1 penalization for high-dimensional covariates. The package returns conditional mean and variance estimates, coefficient summaries, simulations, and exceedance-based risk scores defined as estimated conditional threshold-exceedance probabilities. The implementation builds on the lasso of Tibshirani (1996) <doi:10.1111/j.2517-6161.1996.tb02080.x>, generalized autoregressive conditional heteroscedasticity of Bollerslev (1986) <doi:10.1016/0304-4076(86)90063-1>, and L1-regularized high-dimensional time-series modeling of Medeiros and Mendes (2016) <doi:10.1016/j.jeconom.2015.10.011>.
| Version: | 0.1.13 |
| Depends: | R (≥ 4.1.0) |
| Imports: | stats, glmnet |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-05-28 |
| DOI: | 10.32614/CRAN.package.varGuidTS |
| Author: | Zihao Wang [aut], Min Lu [aut, cre] |
| Maintainer: | Min Lu <luminwin at gmail.com> |
| BugReports: | https://github.com/zionwzz/variance-guided-risk-demo/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/zionwzz/variance-guided-risk-demo |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | varGuidTS results |
| Reference manual: | varGuidTS.html , varGuidTS.pdf |
| Package source: | varGuidTS_0.1.13.tar.gz |
| Windows binaries: | r-devel: varGuidTS_0.1.13.zip, r-release: varGuidTS_0.1.13.zip, r-oldrel: varGuidTS_0.1.13.zip |
| macOS binaries: | r-release (arm64): varGuidTS_0.1.13.tgz, r-oldrel (arm64): varGuidTS_0.1.13.tgz, r-release (x86_64): varGuidTS_0.1.13.tgz, r-oldrel (x86_64): varGuidTS_0.1.13.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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