Dimension Reduction Methods for Multivariate Time Series


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Documentation for package ‘BigVAR’ version 1.0.6

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BigVAR-package Dimension Reduction Methods for Multivariate Time Series.
A Generator for Simulated Multivariate Time Series
BigVAR Dimension Reduction Methods for Multivariate Time Series.
BigVAR-class BigVAR Object Class
BigVAR.est BigVAR Estimation
BigVAR.est-method BigVAR Estimation
BigVAR.fit Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.results BigVAR.results This class contains the results from cv.BigVAR.
BigVAR.results-class BigVAR.results This class contains the results from cv.BigVAR.
constructModel Construct an object of class BigVAR
cv.BigVAR Cross Validation for BigVAR
cv.BigVAR-method Cross Validation for BigVAR
MultVarSim Simulate a VAR
plot Plot an object of class BigVAR.results
plot-method Plot an object of class BigVAR.results
plot-method Plot a BigVAR object
plot.BigVAR Plot a BigVAR object
predict Forecast using a BigVAR.results object
predict-method Forecast using a BigVAR.results object
PredictVARX One-step ahead predictions for VARX models
show Default show method for an object of class BigVAR.results
show-method Default show method for an object of class BigVAR.results
show-method Default show method for an object of class BigVAR
show.BigVAR Default show method for an object of class BigVAR
SparsityPlot.BigVAR.results Sparsity Plot of a BigVAR.results object
SparsityPlot.BigVAR.results-method Sparsity Plot of a BigVAR.results object
VarptoVar1MC Converts a VAR coefficient matrix of order p to multiple companion form
VARXFit Fit a VAR or VARX model by least squares
VARXForecastEval Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
VARXLagCons Construct a VAR or VARX lag matrix
Y Simulated Multivariate Time Series