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multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) <doi:10.48550/arXiv.2007.05052>.

Version: 1.1.0
Depends: R (≥ 2.10)
Imports: methods, stats, utils, MASS, Rcpp (≥ 1.0.3), Matrix, ggplot2, vars, reshape2, glmnet
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2022-05-27
DOI: 10.32614/CRAN.package.multivar
Author: Zachary Fisher [aut, cre], Younghoon Kim [ctb], Vladas Pipiras [ctb]
Maintainer: Zachary Fisher <fish.zachary at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
CRAN checks: multivar results

Documentation:

Reference manual: multivar.pdf
Vignettes: Getting Started with multi-VAR

Downloads:

Package source: multivar_1.1.0.tar.gz
Windows binaries: r-devel: multivar_1.1.0.zip, r-release: multivar_1.1.0.zip, r-oldrel: multivar_1.1.0.zip
macOS binaries: r-release (arm64): multivar_1.1.0.tgz, r-oldrel (arm64): multivar_1.1.0.tgz, r-release (x86_64): multivar_1.1.0.tgz, r-oldrel (x86_64): multivar_1.1.0.tgz
Old sources: multivar archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=multivar to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.