fnets

MaRDI QIDQ1349575swMATHCRANFDO

Authors Dom Owens, Matteo Barigozzi, Haeran Cho

Last update 23 January 2024

Copyright license GNU General Public License

Software version identifier 0.1.2, 0.1.1, 0.1.3, 0.1.4, 0.1.5, 0.1.6

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

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

Description

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.

Cites work

• fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
• FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Cited in

(1)

• ArCo

This page was built for software: fnets