BigVAR

MaRDI QIDQ43060swMATHCRANFDO

Authors Will Nicholson, David S. Matteson, Jacob Bien, Ines Wilms

Last update 30 March 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.1.2, 1.0.1, 1.0.2, 1.0.3, 1.0.4, 1.0.6, 1.0, 1.1.0, 1.1.1, 1.1.3, 1.1.4, PACKAGES.rds, 1.1.5

Official website https://cran.r-project.org/web/packages/BigVAR/index.html

Source code repository https://github.com/cran/BigVAR

Description

Estimates VAR and VARX models with Structured Penalties.

Cited in

(16)

• fnets
• slasso
• sparsegl
• bvartools
• BVAR
• VIRF
• Time series modeling on dynamic networks
• sperrorest
• MTS
• penalized
• pcdpca
• freqdom
• dlstats
• mgm
• tvReg
• IsingFit

This page was built for software: BigVAR