Package: sparsevar 0.1.0

sparsevar: Sparse VAR/VECM Models Estimation

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.

Authors:Simone Vazzoler [aut, cre]

sparsevar_0.1.0.tar.gz
sparsevar_0.1.0.zip(r-4.5)sparsevar_0.1.0.zip(r-4.4)sparsevar_0.1.0.zip(r-4.3)
sparsevar_0.1.0.tgz(r-4.4-any)sparsevar_0.1.0.tgz(r-4.3-any)
sparsevar_0.1.0.tar.gz(r-4.5-noble)sparsevar_0.1.0.tar.gz(r-4.4-noble)
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sparsevar.pdf |sparsevar.html
sparsevar/json (API)
NEWS

# Install 'sparsevar' in R:
install.packages('sparsevar', repos = c('https://svazzole.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/svazzole/sparsevar/issues

On CRAN:

econometricslassomcpscadsparsestatisticstime-seriesvarvecm

5.98 score 11 stars 2 packages 29 scripts 259 downloads 35 exports 45 dependencies

Last updated 4 years agofrom:2fbaf6080a. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 09 2024
R-4.5-winOKNov 09 2024
R-4.5-linuxOKNov 09 2024
R-4.4-winOKNov 09 2024
R-4.4-macOKNov 09 2024
R-4.3-winOKNov 09 2024
R-4.3-macOKNov 09 2024

Exports:accuracybootstrappedVARcheckImpulseZerocheckIsVarcompanionVARcomputeForecastscreateSparseMatrixdecomposePierrorBandsIRFfitVARfitVARXfitVECMfrobNormimpulseResponseinformCritl1norml2normlInftyNormmaxNormmcSimulationsmultiplotplotIRFplotIRFGridplotMatrixplotVARplotVECMsimulateVARsimulateVARXspectralNormspectralRadiustestGrangertransformDatavarENETvarMCPvarSCAD

Dependencies:clicodetoolscolorspacecorpcordoParallelfansifarverforeachggplot2glmnetgluegtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellmvtnormncvregnlmepicassopillarpkgconfigplyrR6RColorBrewerRcppRcppEigenreshape2rlangscalesshapestringistringrsurvivaltibbleutf8vctrsviridisLitewithr

Using sparsevar package

Rendered fromusing.Rmdusingknitr::rmarkdownon Nov 09 2024.

Last update: 2016-11-06
Started: 2016-07-05