sparsevar

swMATH31454CRANsparsevarMaRDI QIDQ43165

Sparse VAR/VECM Models Estimation

Simone Vazzoler

Last update: 18 April 2021

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.1.0

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

Cites work

• Regularized estimation in sparse high-dimensional time series models