Dimension Reduction Methods for Multivariate Time Series

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Documentation for package ‘BigVAR’ version 1.1.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

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.intermediate	BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
BigVAR.intermediate-class	BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
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.
coef	Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
coef-method	Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
coef-methods	Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
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-methods	Plot an object of class BigVAR.results
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