Sparse Estimation of Large Time Series Models


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Documentation for package ‘bigtime’ version 0.2.0

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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')