bigtime (0.1.0)

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Sparse Estimation of Large Time Series Models.

http://github.com/ineswilms/bigtime
http://cran.r-project.org/web/packages/bigtime

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, Bien and Matteson (2017) and Wilms, Basu, Bien and Matteson (2017) .

Maintainer: Ines Wilms
Author(s): Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut]

License: GPL (>= 2)

Uses: corrplot, lattice, MASS, Rcpp, zoo

Released about 2 years ago.


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