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) <doi:10.48550/arXiv.2007.05052>.

Version: 1.1.0
Depends: R (≥ 2.10)
Imports: methods, stats, utils, MASS, Rcpp (≥ 1.0.3), Matrix, ggplot2, vars, reshape2, glmnet
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2022-05-27
DOI: 10.32614/CRAN.package.multivar
Author: Zachary Fisher [aut, cre], Younghoon Kim [ctb], Vladas Pipiras [ctb]
Maintainer: Zachary Fisher <fish.zachary at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
CRAN checks: multivar results


Reference manual: multivar.pdf
Vignettes: Getting Started with multi-VAR


Package source: multivar_1.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): multivar_1.1.0.tgz, r-oldrel (arm64): multivar_1.1.0.tgz, r-release (x86_64): multivar_1.1.0.tgz, r-oldrel (x86_64): multivar_1.1.0.tgz
Old sources: multivar archive


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