sparsevar {sparsevar} | R Documentation |
It performs the estimation of the matrices of the models using penalized least squares methods such as LASSO, SCAD and MCP.
fitVAR
, fitVECM
, simulateVAR
, createSparseMatrix
,
plotMatrix
, plotVAR
, plotVECM
l2norm
, l1norm
, lInftyNorm
, maxNorm
, frobNorm
,
spectralRadius
, spectralNorm
, impulseResponse