| varMCP {sparsevar} | R Documentation |
VAR MCP
Description
Estimate VAR using MCP penalty
Usage
varMCP(data, p, lambdas, opt)
Arguments
data |
the data |
p |
the order of the VAR |
lambdas |
a vector containing the lambdas to be used in the fit |
opt |
a list containing the options |
[Package sparsevar version 0.1.0 Index]