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DESCRIPTION
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Package: autovarCore
Type: Package
Title: Automated Vector Autoregression Models and Networks
Version: 1.0-6
Date: 2020-09-29
Authors@R: c(person("Ando","Emerencia",role = c("aut","cre"),
email = "[email protected]"))
BugReports: https://github.com/roqua/autovarcore/issues
Maintainer: Ando Emerencia <[email protected]>
Description: Automatically find the best vector autoregression
models and networks for a given time series data set. 'AutovarCore'
evaluates eight kinds of models: models with and without log
transforming the data, lag 1 and lag 2 models, and models with and
without weekday dummy variables. For each of these 8 model configurations,
'AutovarCore' evaluates all possible combinations for including
outlier dummies (at 2.5x the standard deviation of the residuals)
and retains the best model. Model evaluation includes the Eigenvalue
stability test and a configurable set of residual tests. These eight
models are further reduced to four models because 'AutovarCore'
determines whether adding weekday dummies improves the model fit.
License: MIT + file LICENSE
Suggests:
testthat,
roxygen2
Imports:
Rcpp (>= 0.11.4),
Amelia,
jsonlite,
methods,
parallel,
stats,
urca,
vars
LinkingTo: Rcpp
RoxygenNote: 7.1.1