Package: multivar 1.4.0

Zachary Fisher

multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive Models

Simulate, estimate, and forecast vector autoregressive (VAR) models for multiple-subject data using structured penalization. Decomposes dynamics into shared (common) and subject-specific (unique) components via adaptive LASSO with FISTA optimization. Supports cross-validation and extended BIC model selection and subgroup detection, and time-varying parameters.

Authors:Zachary Fisher [aut, cre], Christopher Crawford [aut], Younghoon Kim [ctb], Vladas Pipiras [ctb]

multivar_1.4.0.tar.gz
multivar_1.4.0.tar.gz(r-4.7-arm64)multivar_1.4.0.tar.gz(r-4.7-x86_64)multivar_1.4.0.tar.gz(r-4.6-arm64)multivar_1.4.0.tar.gz(r-4.6-x86_64)
multivar_1.4.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
multivar/json (API)

# Install 'multivar' in R:
install.packages('multivar', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblascppopenmp

2.36 score 1 stars 23 scripts 532 downloads 47 exports 45 dependencies

Last updated from:27b4b491e6. Checks:6 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK206
linux-devel-x86_64OK189
source / vignettesOK210
linux-release-arm64OK161
linux-release-x86_64OK168
wasm-releaseOK143

Exports:build_matrix_specbuild_scenario_tablecanonical.multivarcompute_ebicconstructModelcv_blockedcv_multivarcv.multivarestimate_initial_coefseval_multivar_performanceexpand_rangeextract_multivar_hyperparamsget_common_colsget_common_effectsget_common_tvp_colsget_dynamicsget_dynamics_all_subjectsget_n_periodsget_period_rowsget_subgrp_colsget_subgrp_cols_for_subjectget_subject_rowsget_total_effectsget_unique_colsget_unique_effectsget_unique_tvp_colsis_tvplambda_gridmultivar_simmultivar_sim_breaksmultivar_sim_growthmultivar_sim_subgroupsmultivar_sim_tvpplot_cv_lambda_gridplot_resultsplot_simplot_transition_matpretrained_var_stage1_glmnetprint_dynamicsprint_dynamics_tvpprint_edge_prevalencerecover_interceptsselect_by_ebicshowsummary_multivarvalidate_matrix_specvar_sim_tvp

Dependencies:clicodetoolscpp11farverforeachggplot2glmnetgluegridExtragtableigraphisobanditeratorslabelinglatticelifecyclelmtestmagrittrMASSMatrixnlmepkgconfigplyrR6RColorBrewerRcppRcppArmadilloRcppEigenreshape2rlangS7sandwichscalesshapestringistringrstrucchangesurvivalurcavarsvctrsviridisviridisLitewithrzoo

Readme and manuals

Help Manual

Help pageTopics
multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive Modelsmultivar-package
Build Design Matrix Specificationbuild_matrix_spec
Reconstruct scenario-level multipliers used to build Wbuild_scenario_table
Canonical VAR Fitting Function for multivarcanonical.multivar canonical.multivar,multivar-method
Compute EBIC for an array of fitted coefficient matricescompute_ebic
Construct an object of class multivarconstructModel
Blocked Cross-Validation for multivarcv_blocked
Cross-Validation Dispatcher for multivarcv_multivar
Cross Validation for multivarcv.multivar cv.multivar,multivar-method
Simulated multi-VAR data.dat_multivar_sim
Estimate initial coefficients for adaptive weightsestimate_initial_coefs
Summarize multivar performance against simulation truth (robust to missing parts)eval_multivar_performance
Expand Column Range to Indicesexpand_range
Extract hyperparameter grid search resultsextract_multivar_hyperparams
Get Common Effect Columnsget_common_cols
Get Common TVP Columns for a Periodget_common_tvp_cols
Helper Functions for Accessing multivar Resultsget_common_effects get_dynamics get_dynamics_all_subjects get_dynamics_helpers get_total_effects get_unique_effects
Get Number of Periods in TVP Modelget_n_periods
Get Row Range for a Subject's Periodget_period_rows
Get Subgroup Effect Columnsget_subgrp_cols
Get Subgroup Columns for a Subjectget_subgrp_cols_for_subject
Get Row Range for a Subjectget_subject_rows
Get Unique Effect Columns for a Subjectget_unique_cols
Get Unique TVP Columns for a Subject and Periodget_unique_tvp_cols
Check if Model is Time-Varyingis_tvp
Build the lambda1 path (one column per penalty scenario)lambda_grid
Maity et al. (2022) MrLasso-style initial estimationmaity_debiasing
S3 Methods for multivar_fit Objectscoef.multivar_fit multivar_fit_methods plot.multivar_fit print.multivar_fit summary.multivar_fit
Simulate multivar data.multivar_sim
Simulate multivar data with time-varying dynamics according to a latent growth curve.multivar_sim_breaks
Simulate multivar data with time-varying dynamics according to a latent growth curve.multivar_sim_growth
Simulate multivar data with explicit subgroup structuremultivar_sim_subgroups
Simulate multivar TVP data (piecewise or continuous)multivar_sim_tvp
multivar object classmultivar-class
Plot CV error over (lambda1, lambda2)plot_cv_lambda_grid
Plot fitted multivar model resultsplot_results
Plot simulated multivar ground truthplot_sim
Plot arbitrary transition matrixplot_transition_mat
Stage 1 (glmnet): common block only, with optional per-equation interceptspretrained_var_stage1_glmnet
Print dynamics matrix with clear formattingprint_dynamics
Print time-varying dynamics (TVP models)print_dynamics_tvp
Print edge prevalence across subjectsprint_edge_prevalence
Print method for matrix_specprint.matrix_spec
Recover Intercepts from Centered Datarecover_intercepts
Reselect best model using (E)BIC instead of MSFEselect_by_ebic
Default show method for an object of class multivarshow,multivar-method show.multivar
Summary for multivar fit objectssummary_multivar
Validate Matrix Specificationvalidate_matrix_spec
Simulate a time-varying VAR model (piecewise or continuous)var_sim_tvp