bigtime
swMATH44386CRANbigtimeMaRDI QIDQ1349571FDOQ1349571
Sparse Estimation of Large Time Series Models
Enrico Wegner, David S. Matteson, Sumanta Basu, Will Nicholson, Jacob Bien, Ines Wilms
Last update: 21 August 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.2.1, 0.1.0, 0.2.0, 0.2.2, 0.2.3
Source code repository: https://github.com/cran/bigtime
Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.
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