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DESCRIPTION
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DESCRIPTION
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Package: NetVAR
Type: Package
Title: NetVAR: Network structures in VAR models
Version: 0.1-1
Date: 2024-02-26
Author: Simon Trimborn <[email protected]>
Maintainer: Simon Trimborn <[email protected]>
LazyLoad: yes
LazyData: true
Depends: R (>= 3.5.0)
Imports: fields
Description: VAR type models with tailored regularisation structures are provided to uncover network type structures in the data, such as influential time series (influencers). Currently the package implements the LISAR model from Zhang and Trimborn (2023) <doi:10.2139/ssrn.4619531>. The package automatically derives the required regularisation sequences and refines it during the estimation to provide the optimal model. The package allows for model optimisation under various loss functions such as MSFE, AIC, and BIC. It provides a dedicated class, allowing for summary prints of the optimal model and a plotting function to conveniently analyse the optimal model via heatmaps.
License: GPL (>=3)
NeedsCompilation: yes
Packaged: 2024-02-26 07:44:29 UTC
RoxygenNote: 7.2.2