BigVAR.est {BigVAR} | R Documentation |
Fit a BigVAR object with a structured penalty (VARX-L or HLAG).
BigVAR.est(object)
object |
BigVAR object created from |
Fits HLAG or VARX-L model on a BigVAR object. Does not perform cross-validation. This method allows the user to construct their own penalty parameter selection procedure.
An array of k \times kp \times n
or k\times kp+ms \times n
coefficient matrices; one for each of the n values of lambda.
constructModel
, BigVAR.results
,cv.BigVAR
data(Y)
Y=Y[1:100,]
#construct a Basic VAR-L
Model1=constructModel(Y,p=4,struct='Basic',gran=c(50,10))
BigVAR.est(Model1)