BigVAR (1.0.2)

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Dimension Reduction Methods for Multivariate Time Series.

http://www.github.com/wbnicholson/BigVAR
http://cran.r-project.org/web/packages/BigVAR

Estimates VAR and VARX models with structured Lasso Penalties.

Maintainer: Will Nicholson
Author(s): Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]

License: GPL (>= 2)

Uses: lattice, MASS, Rcpp, zoo

Released about 1 month ago.


2 previous versions

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