BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.

Version:	1.1.2
Depends:	R (≥ 3.5.0), methods, lattice
Imports:	MASS, zoo, Rcpp, stats, utils, grDevices, graphics, abind
LinkingTo:	Rcpp, RcppArmadillo, RcppEigen
Suggests:	knitr, rmarkdown, gridExtra, expm, MCS, quantmod, codetools
Published:	2023-01-09
DOI:	10.32614/CRAN.package.BigVAR
Author:	Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut], Ines Wilms [aut]
Maintainer:	Will Nicholson <wbn8 at cornell.edu>
BugReports:	https://github.com/wbnicholson/BigVAR/issues
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/wbnicholson/BigVAR
NeedsCompilation:	yes
SystemRequirements:	C++11
Materials:	NEWS
In views:	TimeSeries
CRAN checks:	BigVAR results

Documentation:

Reference manual:	BigVAR.pdf
Vignettes:	BigVAR: Tools for Modeling Sparse Vector Autoregressions with Exogenous Variables (source, R code)

Downloads:

Package source:	BigVAR_1.1.2.tar.gz
Windows binaries:	r-devel: BigVAR_1.1.2.zip, r-release: BigVAR_1.1.2.zip, r-oldrel: BigVAR_1.1.2.zip
macOS binaries:	r-release (arm64): BigVAR_1.1.2.tgz, r-oldrel (arm64): BigVAR_1.1.2.tgz, r-release (x86_64): BigVAR_1.1.2.tgz, r-oldrel (x86_64): BigVAR_1.1.2.tgz
Old sources:	BigVAR archive

Reverse dependencies:

Reverse imports:	VIRF
Reverse suggests:	frequencyConnectedness

Linking:

Please use the canonical form https://CRAN.R-project.org/package=BigVAR to link to this page.