Package: BigVAR 1.1.2

Will Nicholson

BigVAR: Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)<doi:10.1016/j.ijforecast.2017.01.003> and Nicholson et al (2020) <doi:10.48550/arXiv.1412.5250>.

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

BigVAR_1.1.2.tar.gz
BigVAR_1.1.2.tar.gz(r-4.5-noble)BigVAR_1.1.2.tar.gz(r-4.4-noble)
BigVAR_1.1.2.tgz(r-4.4-emscripten)BigVAR_1.1.2.tgz(r-4.3-emscripten)
BigVAR.pdf |BigVAR.html✨
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
Y - Simulated Multivariate Time Series

3.47 score 1 packages 98 scripts 588 downloads 1 mentions 15 exports 7 dependencies

Last updated 2 years agofrom:96d776b14e. Checks:OK: 1 NOTE: 1. Indexed: no.

Target	Result	Date
Doc / Vignettes	OK	Oct 01 2024
R-4.5-linux-x86_64	NOTE	Oct 01 2024

Exports:BigVAR.est BigVAR.fit coef constructModel cv.BigVAR MultVarSim plot predict PredictVARX show SparsityPlot.BigVAR.results VarptoVar1MC VARXFit VARXForecastEval VARXLagCons

Dependencies:abind lattice MASS Rcpp RcppArmadillo RcppEigen zoo

BigVAR: Tools for Modeling Sparse Vector Autoregressions with Exogenous Variables

Will Nicholson, Jacob Bien, David Matteson, Ines Wilms

Rendered fromBigVAR.Rmdusingknitr::rmarkdownon Oct 01 2024.

Last update: 2022-10-02
Started: 2022-03-22

Citation

Readme and manuals

Help Manual

Help page	Topics
Generator for Simulated Multivariate Time Series	A
Dimension Reduction Methods for Multivariate Time Series.	BigVAR
BigVAR Object Class	BigVAR-class
BigVAR Estimation	BigVAR.est BigVAR.est,BigVAR-method
Simple function to fit BigVAR model with fixed penalty parameter	BigVAR.fit
BigVAR.intermediate This class contains the in-sample results for cv.BigVAR	BigVAR.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 period	coef coef,BigVAR.results-method coef-methods
Construct an object of class BigVAR	constructModel
Cross Validation for BigVAR	cv.BigVAR cv.BigVAR,BigVAR-method
Simulate a VAR	MultVarSim
Plot an object of class BigVAR.results	plot plot,BigVAR.results-method plot-methods
Plot a BigVAR object	plot,BigVAR-method plot.BigVAR
Forecast using a BigVAR.results object	predict predict,BigVAR.results-method
One-step ahead predictions for VARX models	PredictVARX
Default show method for an object of class BigVAR.results	show show,BigVAR.results-method
Default show method for an object of class BigVAR	show,BigVAR-method show.BigVAR
Sparsity Plot of a BigVAR.results object	SparsityPlot.BigVAR.results SparsityPlot.BigVAR.results,BigVAR.results-method
Converts a VAR coefficient matrix of order p to multiple companion form	VarptoVar1MC
Fit a VAR or VARX model by least squares	VARXFit
Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC	VARXForecastEval
Construct a VAR or VARX lag matrix	VARXLagCons
Simulated Multivariate Time Series	Y