nets-package {nets}

Network Estimator for Time Series

Description

The NETS package provides routines for the estimation of sparse VAR models.

Details

Package:	nets
Type:	Package
Version:	0.8
Date:	2016-03-01
License:	GPL
LazyLoad:	yes

Author(s)

Christian Brownlees

Maintainer: Christian Brownlees

References

Barigozzi, M. and Brownlees, C. (2016) NETS: Network Estimation for Time Series, Working Paper

Peng, J., Wang, P., Zhou, N. and Zhu, J. (2009), Partial Correlation Estimation by Joint Sparse Regression Model, JASA, 104, 735-746.

Meinshausen, N. and Buhlmann, P. (2006), High Dimensional Graphs and Variable Selection with the Lasso, Annals of Statistics, 34, 1436-1462.