Package: multivar 1.2.0

multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Functions for simulating, estimating and forecasting stationary Vector Autoregressive (VAR) models for multiple subject data using the penalized multi-VAR framework in Fisher, Kim and Pipiras (2020) <arxiv:2007.05052>.

Authors:Zachary Fisher [aut, cre], Younghoon Kim [ctb], Vladas Pipiras [ctb]

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multivar.pdf |multivar.html✨
multivar/json (API)

# Install 'multivar' in R:

install.packages('multivar', repos = c('https://zackfisher.r-universe.dev', 'https://cloud.r-project.org'))

The latest version of this package failed to build. Look at thebuild logs for more information.

Bug tracker:https://github.com/zackfisher/multivar/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

dat_multivar_sim - Simulated multi-VAR data.

On CRAN:

4.35 score 1 stars 15 scripts 207 downloads 8 exports 47 dependencies

Last updated 2 months agofrom:5d959c384a. Checks:OK: 1 ERROR: 8. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 19 2024
R-4.5-win-x86_64	ERROR	Sep 20 2024
R-4.5-linux-x86_64	ERROR	Sep 20 2024
R-4.4-win-x86_64	ERROR	Sep 20 2024
R-4.4-mac-x86_64	ERROR	Sep 20 2024
R-4.4-mac-aarch64	ERROR	Sep 20 2024
R-4.3-win-x86_64	ERROR	Sep 20 2024
R-4.3-mac-x86_64	ERROR	Sep 20 2024
R-4.3-mac-aarch64	ERROR	Sep 20 2024

Exports:canonical.multivar constructModel cv.multivar multivar_sim plot_results plot_sim plot_transition_mat tvp_sim

Dependencies:cli codetools colorspace fansi farver foreach ggplot2 glmnet glue gtable isoband iterators labeling lattice lifecycle lmtest magrittr MASS Matrix mgcv munsell nlme pillar pkgconfig plyr R6 RColorBrewer Rcpp RcppArmadillo RcppEigen reshape2 rlang sandwich scales shape stringi stringr strucchange survival tibble urca utf8 vars vctrs viridisLite withr zoo

Getting Started with multi-VAR

Zachary F. Fisher

Rendered frommultiVARExample.Rmdusingknitr::rmarkdownon Sep 19 2024.

Last update: 2022-05-27
Started: 2022-01-31

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Penalized Estimation of Multiple Subject Vector Autoregressive (multi-VAR) Models	multivar-package multivar
Canonical VAR Fitting Function for multivar	canonical.multivar canonical.multivar,multivar-method
Construct an object of class multivar	constructModel
Cross Validation for multivar	cv.multivar cv.multivar,multivar-method
Simulated multi-VAR data.	dat_multivar_sim
Estimate consistent first-stage coefficients	estimate_initial_coefs
Simulate multivar data.	multivar_sim
multivar object class	multivar-class
Plot data arising from cv.multivar.	plot_results
Plot data arising from multivar_sim.	plot_sim
Plot arbitrary transition matrix.	plot_transition_mat
Default show method for an object of class multivar	show,multivar-method show.multivar
Simulate a time-varying VAR model.	tvp_sim