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A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.
Version: | 0.1.0 |
Depends: | R (≥ 3.5.0) |
Imports: | Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, picasso, corpcor |
Suggests: | knitr, rmarkdown, testthat |
Published: | 2021-04-18 |
DOI: | 10.32614/CRAN.package.sparsevar |
Author: | Simone Vazzoler [aut, cre] |
Maintainer: | Simone Vazzoler <svazzole at gmail.com> |
BugReports: | https://github.com/svazzole/sparsevar |
License: | GPL-2 |
URL: | https://github.com/svazzole/sparsevar |
NeedsCompilation: | no |
Materials: | README NEWS |
In views: | TimeSeries |
CRAN checks: | sparsevar results |
Reference manual: | sparsevar.pdf |
Vignettes: |
Using sparsevar |
Package source: | sparsevar_0.1.0.tar.gz |
Windows binaries: | r-devel: sparsevar_0.1.0.zip, r-release: sparsevar_0.1.0.zip, r-oldrel: sparsevar_0.1.0.zip |
macOS binaries: | r-release (arm64): sparsevar_0.1.0.tgz, r-oldrel (arm64): sparsevar_0.1.0.tgz, r-release (x86_64): sparsevar_0.1.0.tgz, r-oldrel (x86_64): sparsevar_0.1.0.tgz |
Old sources: | sparsevar archive |
Reverse imports: | MissCP, VARDetect |
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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.