Dimension Reduction Methods for Multivariate Time Series
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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For a demonstration of the package's capabilities, see the recent updated BigVAR Tutorial or the slightly out of date user guide available on Arxiv.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



The stable version is available on cran.

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