Sparse Estimation of Large Time Series Models

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Documentation for package ‘bigtime’ version 0.2.3

• DESCRIPTION file.
• Package NEWS.

Help Pages

bigtime-package	bigtime: A package for obtaining sparse estimates of large time series models.
bigtime	bigtime: A package for obtaining sparse estimates of large time series models.
create_rand_coef_mat	Creates a random coefficient matrix
diagnostics_plot	Creates a Diagnostic Plot
diagnostics_plot.bigtime.VAR	diagnostics_plot function for VAR models
diagnostics_plot.bigtime.VARMA	diagnostics_plot function for VARMA models
diagnostics_plot.bigtime.VARX	diagnostics_plot function for VARX models
directforecast	Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
fitted.bigtime.VAR	Gives the fitted values of a model estimated using 'sparseVAR'
fitted.bigtime.VARMA	Gives the fitted values of a model estimated using 'sparseVARMA'
fitted.bigtime.VARX	Gives the fitted values of a model estimated using 'sparseVARX'
get_ic_vals	Calculates the Information Criteria for a VAR, VARX, VARMA model
get_ic_vals.bigtime.VAR	Calculates the Information Criteria for a model estimated using 'sparseVAR'
get_ic_vals.bigtime.VARX	Calculates the Information Criteria for a model estimated using 'sparseVARX'
ic_selection	Selects the optimal penalty parameter using information criteria
is.stable	Checks whether a VAR is stable
lagmatrix	Creates Lagmatrix of Estimated Coefficients
plot.bigtime.recursiveforecast	Plots Recursive Forecasts
plot.bigtime.simVAR	Plots a simulated VAR
plot_cv	Plot the Cross Validation Error Curve for a Sparse VAR or VARX
recursiveforecast	Recursively Forecasts a VAR
residuals.bigtime.VAR	Gives the residuals for VAR models estimated using 'sparseVAR'
residuals.bigtime.VARMA	Gives the residuals for VARMA models estimated using 'sparseVARMA'
residuals.bigtime.VARX	Gives the residuals for VARX models estimated using 'sparseVARX'
simVAR	Simulates a VAR(p) with various sparsity patterns
sparseVAR	Sparse Estimation of the Vector AutoRegressive (VAR) Model
sparseVARMA	Sparse Estimation of the Vector AutoRegressive Moving Average (VARMA) Model
sparseVARX	Sparse Estimation of the Vector AutoRegressive with Exogenous Variables X (VARX) Model
summary.bigtime.simVAR	Gives a small summary of a VAR simulation
X.varx	VARX Time Series Example ('varx.example')
Y.var	VAR Time Series Example ('var.example')
Y.varma	VARMA Time Series Example ('varma.example')
Y.varx	VARX Time Series Example ('varx.example')