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') |