Other packages > Find by keyword >

VARshrink  

Shrinkage Estimation Methods for Vector Autoregressive Models
View on CRAN: Click here


Download and install VARshrink package within the R console
Install from CRAN:
install.packages("VARshrink")

Install from Github:
library("remotes")
install_github("cran/VARshrink")

Install by package version:
library("remotes")
install_version("VARshrink", "0.3.1")



Attach the package and use:
library("VARshrink")
Maintained by
Namgil Lee
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-10-09
Latest Update: 2019-10-09
Description:
Vector autoregressive (VAR) model is a fundamental and effective approach for multivariate time series analysis. Shrinkage estimation methods can be applied to high-dimensional VAR models with dimensionality greater than the number of observations, contrary to the standard ordinary least squares method. This package is an integrative package delivering nonparametric, parametric, and semiparametric methods in a unified and consistent manner, such as the multivariate ridge regression in Golub, Heath, and Wahba (1979) <doi:10.2307/1268518>, a James-Stein type nonparametric shrinkage method in Opgen-Rhein and Strimmer (2007) <doi:10.1186/1471-2105-8-S2-S3>, and Bayesian estimation methods using noninformative and informative priors in Lee, Choi, and S.-H. Kim (2016) <doi:10.1016/j.csda.2016.03.007> and Ni and Sun (2005) <doi:10.1198/073500104000000622>.
How to cite:
Namgil Lee (2019). VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models. R package version 0.3.1, https://cran.r-project.org/web/packages/VARshrink
Previous versions and publish date:
No previous versions
Other packages that cited VARshrink R package
View VARshrink citation profile
Other R packages that VARshrink depends, imports, suggests or enhances
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

steepness  
Testing Steepness of Dominance Hierarchies
The steepness package computes steepness as a property of dominance hierarchies. Steepness is define ...
Download / Learn more Package Citations See dependency  
critpath  
Setting the Critical Path in Project Management
Solving the problem of project management using CPM (Critical Path Method), PERT (Program Evaluation ...
Download / Learn more Package Citations See dependency  
mistral  
Methods in Structural Reliability
Various reliability analysis methods for rare event inference (computing failure probability and qua ...
Download / Learn more Package Citations See dependency  
ftaproxim  
Fault Tree Analysis Based on Proxel Simulation
Calculation and plotting of instantaneous unavailabilities of basic events along with the top event ...
Download / Learn more Package Citations See dependency  
rdbnomics  
Download DBnomics Data
R access to hundreds of millions data series from DBnomics API (). ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

22,114

R Packages

188,080

Dependencies

55,244

Author Associations

22,115

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net. Contact Us / Suggestions / Concerns