Penalized Estimation and Forecasting of Multiple Subject Vector Autoregressive (VAR) Models

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Documentation for package ‘multivar’ version 0.0.1

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multivar-package Penalized Estimation and Forecasting of Multiple Subject VAR Models
fista_sparse Estimate a Sparse Multiple-Subject Vector Autoregression (VAR) Model
multivar Penalized Estimation and Forecasting of Multiple Subject VAR Models
var_forecast Estimate h-step ahead forecasts based on the recovered transition matrix.
var_sim Simulate a stationary Vector Autoregressive (VAR) time series.