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sparsevar

swMATH ID: 31454
Software Authors: Simone Vazzoler
Description: R package sparsevar: Sparse VAR/VECM Models Estimation. A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.
Homepage: https://cran.r-project.org/web/packages/sparsevar/index.html
Source Code:  https://github.com/cran/sparsevar
Dependencies: R
Related Software: R; forecast; mgm; nets; igraph; hergm; gergm; ergm; fields; SparseTSCGM; mlVAR; graphicalVAR; gimme; vars; autovarCore; tnam; networkTomography; NetOrigin; hybridModels; EpiILMCT
Cited in: 1 Document

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