Statistical Inference for Noisy Vector Autoregression

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Documentation for package ‘hdiVAR’ version 1.0.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

CV_VARMLE	cross-validation for transition matrix update in maximization step
Estep	expectation step in sparse expectation-maximization algorithm
hdVARtest	statistical inference for transition matrix in high-dimensional vector autoregression with measurement error
kalman	kalman filtering and smoothing for vector autoregression with measurement error
Mstep	maximization step of sparse expectation-maximization algorithm for updating error standard deviations
sEM	sparse expectation-maximization algorithm for high-dimensional vector autoregression with measurement error
VARMLE	generalized Dantzig selector for transition matrix update in maximization step