A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET, SCAD and MCP.

Documentation

Manual: sparsevar.pdf
Vignette: Using sparsevar

Maintainer: Simone Vazzoler <svazzole at gmail.com>

Author(s): Simone Vazzoler*, Lorenzo Frattarolo*, Monica Billio*

Install package and any missing dependencies by running this line in your R console:

install.packages("sparsevar")

Depends R (>= 1.8.0)
Imports Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, flare, picasso
Suggests knitr, testthat
Enhances
Linking to
Reverse
depends
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package sparsevar
Materials
URL http://github.com/svazzole/sparsevar
Task Views TimeSeries
Version 0.0.10
Published 2016-11-07
License GPL-2
BugReports http://github.com/svazzole/sparsevar
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks sparsevar check results
Package source sparsevar_0.0.10.tar.gz