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varGuidTS  

Variance-Guided Time-Series Modeling for Temporal Risk Detection
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("varGuidTS", "0.1.13")



Attach the package and use:
library("varGuidTS")
Maintained by
Min Lu
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-28
Latest Update: 2026-05-28
Description:
Fits balanced-panel autoregressive models with conditional heteroscedasticity for temporal risk detection. The main estimator combines autoregressive exogenous mean modeling with GARCH-X variance modeling, subject-specific baseline terms, shared population coefficients, and L1 penalization for high-dimensional covariates. The package returns conditional mean and variance estimates, coefficient summaries, simulations, and exceedance-based risk scores defined as estimated conditional threshold-exceedance probabilities. The implementation builds on the lasso of Tibshirani (1996) <doi:10.1111/j.2517-6161.1996.tb02080.x>, generalized autoregressive conditional heteroscedasticity of Bollerslev (1986) <doi:10.1016/0304-4076(86)90063-1>, and L1-regularized high-dimensional time-series modeling of Medeiros and Mendes (2016) <doi:10.1016/j.jeconom.2015.10.011>.
How to cite:
Min Lu (2026). varGuidTS: Variance-Guided Time-Series Modeling for Temporal Risk Detection. R package version 0.1.13, https://cran.r-project.org/web/packages/varGuidTS. Accessed 29 Jul. 2026.
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