bigtime
Sparse Estimation of Large Time Series Models
Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.3 |
2026-04-09 windows/windows R-4.5 | bigtime_0.2.3.zip |
1.3 MiB |