Package: BigVAR 1.1.5

Will Nicholson

BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties.

Authors:Will Nicholson [cre, aut], David Matteson [aut], Jacob Bien [aut]

BigVAR_1.1.5.tar.gz
BigVAR_1.1.5.tar.gz(r-4.7-arm64)BigVAR_1.1.5.tar.gz(r-4.7-x86_64)BigVAR_1.1.5.tar.gz(r-4.6-arm64)BigVAR_1.1.5.tar.gz(r-4.6-x86_64)
BigVAR_1.1.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
BigVAR/json (API)
NEWS

# Install 'BigVAR' in R:
install.packages('BigVAR', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/wbnicholson/bigvar/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • A - Generator for Simulated Multivariate Time Series
  • CPI - US Consumer Price Index
  • FFR - US Federal Funds Rate
  • GDP - US Gross Domestic Product
  • M1 - US M1
  • Y - Simulated Multivariate Time Series
  • Y1 - Example US quarterly macroeconomic data

On CRAN:

Conda:

openblascpp

3.96 score 1 packages 101 scripts 871 downloads 1 mentions 15 exports 7 dependencies

Last updated from:c76ff7ab68. Checks:6 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK184
linux-devel-x86_64OK159
source / vignettesOK275
linux-release-arm64OK164
linux-release-x86_64OK156
wasm-releaseOK142

Exports:BigVAR.estBigVAR.fitcoefconstructModelcv.BigVARMultVarSimplotpredictPredictVARXshowSparsityPlot.BigVAR.resultsVarptoVar1MCVARXFitVARXForecastEvalVARXLagCons

Dependencies:abindlatticeMASSRcppRcppArmadilloRcppEigenzoo

BigVAR: Tools for Modeling Sparse Vector Autoregressions with Exogenous Variables

Will Nicholson, Jacob Bien, David Matteson, Ines Wilms

Rendered fromBigVAR.Rmdusingknitr::rmarkdownon May 29 2026.

Last update: 2026-03-30
Started: 2022-03-22

Readme and manuals

Help Manual

Help pageTopics
Generator for Simulated Multivariate Time SeriesA
Dimension Reduction Methods for Multivariate Time Series.BigVAR
BigVAR Object ClassBigVAR-class
BigVAR EstimationBigVAR.est BigVAR.est,BigVAR-method
Simple function to fit BigVAR model with fixed penalty parameterBigVAR.fit
BigVAR.intermediate This class contains the in-sample results for cv.BigVARBigVAR.intermediate BigVAR.intermediate-class
BigVAR.results This class contains the results from cv.BigVAR.BigVAR.results BigVAR.results-class
Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation periodcoef coef,BigVAR.results-method coef-methods
Construct an object of class BigVARconstructModel
US Consumer Price IndexCPI
Cross Validation for BigVARcv.BigVAR cv.BigVAR,BigVAR-method
US Federal Funds RateFFR
US Gross Domestic ProductGDP
US M1M1
Simulate a VARMultVarSim
Plot an object of class BigVAR.resultsplot plot,BigVAR.results-method plot-methods
Plot a BigVAR objectplot,BigVAR-method plot.BigVAR
Forecast using a BigVAR.results objectpredict predict,BigVAR.results-method
One-step ahead predictions for VARX modelsPredictVARX
Default show method for an object of class BigVAR.resultsshow show,BigVAR.results-method
Default show method for an object of class BigVARshow,BigVAR-method show.BigVAR
Sparsity Plot of a BigVAR.results objectSparsityPlot.BigVAR.results SparsityPlot.BigVAR.results,BigVAR.results-method
Converts a VAR coefficient matrix of order p to multiple companion formVarptoVar1MC
Fit a VAR or VARX model by least squaresVARXFit
Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BICVARXForecastEval
Construct a VAR or VARX lag matrixVARXLagCons
Simulated Multivariate Time SeriesY
Example US quarterly macroeconomic dataY1