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
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sparsevar_0.1.0.tgz(r-4.4-any)sparsevar_0.1.0.tgz(r-4.3-any)
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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 295 downloads 35 exports 45 dependencies

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

TargetResultDate
Doc / VignettesOKOct 10 2024
R-4.5-winOKOct 10 2024
R-4.5-linuxOKOct 10 2024
R-4.4-winOKOct 10 2024
R-4.4-macOKOct 10 2024
R-4.3-winOKOct 10 2024
R-4.3-macOKOct 10 2024

Exports:accuracybootstrappedVARcheckImpulseZerocheckIsVarcompanionVARcomputeForecastscreateSparseMatrixdecomposePierrorBandsIRFfitVARfitVARXfitVECMfrobNormimpulseResponseinformCritl1norml2normlInftyNormmaxNormmcSimulationsmultiplotplotIRFplotIRFGridplotMatrixplotVARplotVECMsimulateVARsimulateVARXspectralNormspectralRadiustestGrangertransformDatavarENETvarMCPvarSCAD

Dependencies:clicodetoolscolorspacecorpcordoParallelfansifarverforeachggplot2glmnetgluegtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellmvtnormncvregnlmepicassopillarpkgconfigplyrR6RColorBrewerRcppRcppEigenreshape2rlangscalesshapestringistringrsurvivaltibbleutf8vctrsviridisLitewithr

Using sparsevar package

Rendered fromusing.Rmdusingknitr::rmarkdownon Oct 10 2024.

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