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bigtime
View on CRAN: Click
here
Download and install bigtime package within the R console
Install from CRAN:
install.packages("bigtime")
Install from Github:
library("remotes")
install_github("cran/bigtime") Install by package version:
library("remotes")
install_version("bigtime", "0.2.3") Attach the package and use:
library("bigtime")
Maintained by
Ines Wilms
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-11-09
Latest Update: 2023-08-21
Description:
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) and Wilms, Basu, Bien and Matteson (2021) .
How to cite:
Ines Wilms (2017). bigtime: Sparse Estimation of Large Time Series Models. R package version 0.2.3, https://cran.r-project.org/web/packages/bigtime. Accessed 28 Oct. 2026.
Previous versions and publish date:
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imports, suggests or enhances
Complete documentation for bigtime
Functions, R codes and Examples using
the bigtime R package
Some associated functions: X.varx . Y.var . Y.varma . Y.varx . bigtime . create_rand_coef_mat . diagnostics_plot.bigtime.VAR . diagnostics_plot.bigtime.VARMA . diagnostics_plot.bigtime.VARX . diagnostics_plot . directforecast . dot-diagnostics_plot . dot-get_ic_vals . dot-recursiveforecast . fitted.bigtime.VAR . fitted.bigtime.VARMA . fitted.bigtime.VARX . get_ic_vals.bigtime.VAR . get_ic_vals.bigtime.VARX . get_ic_vals . ic_selection . is.stable . lagmatrix . pipe . plot.bigtime.recursiveforecast . plot.bigtime.simVAR . plot_cv . recursiveforecast . reduce_cube . residuals.bigtime.VAR . residuals.bigtime.VARMA . residuals.bigtime.VARX . simVAR . sparseVAR . sparseVARMA . sparseVARX . summary.bigtime.simVAR .
Some associated R codes: RcppExports.R . RtoC.R . bigtime.R . dataexample.R . diagnostics.R . directforecast.R . hvar.R . hvaralgorithms.R . hvarx.R . information_criteria.R . lagmatrix.R . plot_cv.R . recursiveforecast.R . simVAR.R . utils-pipe.R . varma.R . Full bigtime package functions and examples
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