Package: bigtime 0.2.3

Ines Wilms

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>.

Authors:Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut]

bigtime_0.2.3.tar.gz
bigtime_0.2.3.tar.gz(r-4.5-noble)bigtime_0.2.3.tar.gz(r-4.4-noble)
bigtime_0.2.3.tgz(r-4.4-emscripten)bigtime_0.2.3.tgz(r-4.3-emscripten)
bigtime.pdf |bigtime.html✨
bigtime/json (API)
NEWS

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

Peer review:

Bug tracker:https://github.com/ineswilms/bigtime/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • X.varx - VARX Time Series Example
  • Y.var - VAR Time Series Example
  • Y.varma - VARMA Time Series Example
  • Y.varx - VARX Time Series Example

openblascpp

1.70 score 29 scripts 330 downloads 14 exports 40 dependencies

Last updated 1 years agofrom:435b83f67e. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 13 2024
R-4.5-linux-x86_64OKDec 13 2024

Exports:%>%create_rand_coef_matdiagnostics_plotdirectforecastget_ic_valsic_selectionis.stablelagmatrixplot_cvrecursiveforecastsimVARsparseVARsparseVARMAsparseVARX

Dependencies:clicolorspacecorrplotcpp11dplyrfansifarvergenericsggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpurrrR6RColorBrewerRcppRcppArmadilloRcppEigenrlangscalesstringistringrtibbletidyrtidyselectutf8vctrsviridisLitewithr

Readme and manuals

Help Manual

Help pageTopics
bigtime: A package for obtaining sparse estimates of large time series models.bigtime-package bigtime
Creates a random coefficient matrixcreate_rand_coef_mat
Creates a Diagnostic Plotdiagnostics_plot
diagnostics_plot function for VAR modelsdiagnostics_plot.bigtime.VAR
diagnostics_plot function for VARMA modelsdiagnostics_plot.bigtime.VARMA
diagnostics_plot function for VARX modelsdiagnostics_plot.bigtime.VARX
Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA modeldirectforecast
Gives the fitted values of a model estimated using 'sparseVAR'fitted.bigtime.VAR
Gives the fitted values of a model estimated using 'sparseVARMA'fitted.bigtime.VARMA
Gives the fitted values of a model estimated using 'sparseVARX'fitted.bigtime.VARX
Calculates the Information Criteria for a VAR, VARX, VARMA modelget_ic_vals
Calculates the Information Criteria for a model estimated using 'sparseVAR'get_ic_vals.bigtime.VAR
Calculates the Information Criteria for a model estimated using 'sparseVARX'get_ic_vals.bigtime.VARX
Selects the optimal penalty parameter using information criteriaic_selection
Checks whether a VAR is stableis.stable
Creates Lagmatrix of Estimated Coefficientslagmatrix
Plot the Cross Validation Error Curve for a Sparse VAR or VARXplot_cv
Plots Recursive Forecastsplot.bigtime.recursiveforecast
Plots a simulated VARplot.bigtime.simVAR
Recursively Forecasts a VARrecursiveforecast
Gives the residuals for VAR models estimated using 'sparseVAR'residuals.bigtime.VAR
Gives the residuals for VARMA models estimated using 'sparseVARMA'residuals.bigtime.VARMA
Gives the residuals for VARX models estimated using 'sparseVARX'residuals.bigtime.VARX
Simulates a VAR(p) with various sparsity patternssimVAR
Sparse Estimation of the Vector AutoRegressive (VAR) ModelsparseVAR
Sparse Estimation of the Vector AutoRegressive Moving Average (VARMA) ModelsparseVARMA
Sparse Estimation of the Vector AutoRegressive with Exogenous Variables X (VARX) ModelsparseVARX
Gives a small summary of a VAR simulationsummary.bigtime.simVAR
VARX Time Series Example ('varx.example')X.varx
VAR Time Series Example ('var.example')Y.var
VARMA Time Series Example ('varma.example')Y.varma
VARX Time Series Example ('varx.example')Y.varx