sparsevar

MaRDI QIDQ43165swMATHCRANFDO

Authors Simone Vazzoler

Last update 4 February 2026

Copyright license GNU General Public License, version 2.0

Software version identifier 0.1.0, PACKAGES.rds, 0.0.3, 0.0.5, 0.0.7, 0.0.9, 0.0.10, 0.0.11, 1.0.0

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

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

Description

A wrapper for sparse VAR (Vector Autoregression) and VECM (Vector Error Correction Model) time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Basu and Michailidis (2015) <doi:10.1214/15-AOS1315>.

Cites work

• Regularized estimation in sparse high-dimensional time series models

Cited in

(14)

• LinearDetect
• fnets
• forecast
• vars
• Forecast
• Forecasting mortality rate improvements with a high-dimensional VAR
• CARBayesST
• NetOrigin
• dynsbm
• viridis
• GNAR
• mgm
• VARDetect
• MissCP

This page was built for software: sparsevar