fnets (Q1349575)
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Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | fnets |
Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series |
Statements
23 January 2024
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Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.
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