| sparsevar {sparsevar} | R Documentation |
sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
Description
It performs the estimation of the matrices of the models using penalized least squares methods such as LASSO, SCAD and MCP.
sparsevar functions
fitVAR, fitVECM, simulateVAR, createSparseMatrix,
plotMatrix, plotVAR, plotVECM
l2norm, l1norm, lInftyNorm, maxNorm, frobNorm,
spectralRadius, spectralNorm, impulseResponse
[Package sparsevar version 0.1.0 Index]