bigtime: Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Version: 0.2.0
Depends: R (≥ 3.5.0), methods
Imports: Rcpp, stats, utils, grDevices, graphics, corrplot, dplyr, ggplot2, tidyr, magrittr
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Published: 2021-06-24
Author: Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut]
Maintainer: Ines Wilms <i.wilms at maastrichtuniversity.nl>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/ineswilms/bigtime
NeedsCompilation: yes
SystemRequirements: C++11
Materials: README NEWS
In views: TimeSeries
CRAN checks: bigtime results

Downloads:

Reference manual: bigtime.pdf
Package source: bigtime_0.2.0.tar.gz
Windows binaries: r-devel: bigtime_0.2.0.zip, r-devel-UCRT: bigtime_0.2.0.zip, r-release: bigtime_0.2.0.zip, r-oldrel: bigtime_0.2.0.zip
macOS binaries: r-release (arm64): bigtime_0.2.0.tgz, r-release (x86_64): bigtime_0.2.0.tgz, r-oldrel: bigtime_0.2.0.tgz
Old sources: bigtime archive

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