Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Documentation for package ‘fnets’ version 0.1.6

data.restricted	Simulated data from the restricted factor-adjusted vector autoregression model
data.unrestricted	Simulated data from the unrestricted factor-adjusted vector autoregression model
factor.number	Factor number selection methods
fnets	Factor-adjusted network estimation
fnets.factor.model	Factor model estimation
fnets.var	'l1'-regularised Yule-Walker estimation for VAR processes
network	Convert networks into igraph objects
network.fnets	Convert networks estimated by fnets into igraph objects
par.lrpc	Parametric estimation of long-run partial correlations of factor-adjusted VAR processes
plot.factor.number	Plot factor number
plot.fnets	Plotting the networks estimated by fnets
plot.threshold	Plotting the thresholding procedure
predict.fm	Forecasting for factor models
predict.fnets	Forecasting by fnets
print.factor.number	Print factor number
print.fm	Print factor model
print.fnets	Print fnets
print.threshold	Print threshold
sim.restricted	Simulate data from a restricted factor model
sim.unrestricted	Simulate data from an unrestricted factor model
sim.var	Simulate a VAR(1) process
threshold	Threshold the entries of the input matrix at a data-driven level