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bigtime  

Sparse Estimation of Large Time Series Models
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]
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 07 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:21), 0.1.0 (2017-11-09 19:45), 0.2.0 (2021-06-25 00:40), 0.2.1 (2021-08-09 16:10), 0.2.2 (2023-07-16 09:40)
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Complete documentation for bigtime
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