sparsevar

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>.

Keywords for this software

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References in zbMATH (referenced in 2 articles )

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  1. Marina Knight, Kathryn Leeming, Guy Nason, Matthew Nunes: Generalized Network Autoregressive Processes and the GNAR Package (2020) not zbMATH
  2. Guibert, Quentin; Lopez, Olivier; Piette, Pierrick: Forecasting mortality rate improvements with a high-dimensional VAR (2019)