Dimension Reduction Methods for Multivariate Time Series
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README.md

BigVAR

Tools for modeling sparse high-dimensional multivariate time series

For a demonstration of the package's capabilities, see the recent updated BigVAR Tutorial or the slightly out of date user guide available on Arxiv. The shiny app is available here.

Note: This package utilizes C++11, so it requires a compiler with C++11 support (which should include most modern compilers) and a later version of R (version 3.1 is the oldest that I can confirm works).

To install the development version of BigVAR, after installing the devtools package, run the following commands

library(devtools)

install_github("wbnicholson/BigVAR/BigVAR")

The stable version is available on cran.

If you experience any bugs or have feature requests, contact me at wbn8@cornell.edu.