Sparse Estimation of Large Time Series Models


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Documentation for package ‘bigtime’ version 0.1.0

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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.
directforecast Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
lagmatrix Creates Lagmatrix of Estimated Coefficients
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
X Multivariate Time Series Example
Y Multivariate Time Series Example