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>.

Version: 0.1.0
Depends: R (≥ 3.5.0)
Imports: Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, picasso, corpcor
Suggests: knitr, rmarkdown, testthat
Published: 2021-04-18
Author: Simone Vazzoler [aut, cre]
Maintainer: Simone Vazzoler <svazzole at>
License: GPL-2
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: sparsevar results


Reference manual: sparsevar.pdf
Vignettes: Using sparsevar
Package source: sparsevar_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): sparsevar_0.1.0.tgz, r-release (x86_64): sparsevar_0.1.0.tgz, r-oldrel: sparsevar_0.1.0.tgz
Old sources: sparsevar archive

Reverse dependencies:

Reverse imports: LinearDetect, VARDetect
Reverse suggests: fsMTS


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