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DESCRIPTION
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DESCRIPTION
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Package: fastVAR
Type: Package
Title: fastVAR
Version: 1.9.9
Date: 2012-12-15
Author: Jeffrey Wong
Maintainer: <[email protected]>
Description: This package is designed for time series data. Fits Vector
Autoregressive models and Vector Autoregressive models with Exogenous
Inputs. For speedup, fastVAR can use multiple cpu cores to calculate the
estimates. For very large systems, fastVAR uses Lasso penalty to return
very sparse coefficient matrices. Regression diagnostics can be used to
compare models, and prediction functions can be used to calculate the
n-step ahead prediction.
License: GPL
URL: https://github.com/jeffwong/fastVAR
LazyLoad: yes
Depends:
glmnet,
RcppEigen,
Rcpp,
parallel,
glasso
LinkingTo: Rcpp, RcppEigen
Collate:
'SparseVAR.R'
'SparseVARX.R'
'classes.R'
'designMatrix.R'
'diagnostics.R'
'fastVAR.R'
'fastVARX.R'
'ridge.R'
'weights.R'
'tsutils.R'
'RcppExports.R'
'fastMlm.R'
'utils.R'
'GroupVAR.R'
'GroupVARX.R'
'GraphicalVAR.R'
'GraphicalVARX.R'
'graphicalLm.R'