BigVAR

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Dimension Reduction Methods for Multivariate Time Series

Jacob Bien, Ines Wilms, Will Nicholson, David Matteson

Last update: 9 January 2023

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

Software version identifier: 1.1.2

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

Cites work

• VARX-L: Structured regularization for large vector autoregressions with exogenous variables
• High Dimensional Forecasting via Interpretable Vector Autoregression

Cited In (2)

• Time series modeling on dynamic networks
• VIRF

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