Tools for modeling sparse high-dimensional multivariate time series
For a demonstration of the package's capabilities, see the user guide available on Arxiv. The shiny app has been taken offline, but the source code is available upon request.
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 BigVAR, after installing the devtools package, run the following commands
If you experience any bugs or have feature requests, contact me at email@example.com.