fnets
swMATH44384CRANfnetsMaRDI QIDQ1349575
Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
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
Source code repository: https://github.com/cran/fnets
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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