multivar

MaRDI QIDQ1352093swMATHCRANFDO

Authors Zachary Fisher, Christopher Crawford

Last update 30 March 2026

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

Software version identifier 1.1.0, PACKAGES.rds, 0.0.1, 0.0.2, 1.0.0, 1.1.0, 1.3.0, 1.4.0

Official website https://cran.rstudio.com/web/packages/multivar/index.html

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

Description

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.

Cited in

(2)

• Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data
• gimme

This page was built for software: multivar