Description
Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models.
Description
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>.
README.md
Overview
multivar is an R package for estimating sparse Vector Autoregressive (VAR) models for multiple subjects (units) simultaneously. The package is currently under development and will be updated with full functionality shortly. For more information see Fisher, Kim and Pipiras (2020).