sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation
A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.
| Version: |
1.0.0 |
| Depends: |
R (≥ 4.5.0) |
| Imports: |
Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, corpcor, checkmate, rlang |
| Suggests: |
knitr, rmarkdown, testthat |
| Published: |
2026-02-04 |
| DOI: |
10.32614/CRAN.package.sparsevar |
| Author: |
Simone Vazzoler [aut, cre] |
| Maintainer: |
Simone Vazzoler <svazzole at gmail.com> |
| BugReports: |
https://github.com/svazzole/sparsevar/issues |
| License: |
GPL-2 |
| URL: |
https://github.com/svazzole/sparsevar |
| NeedsCompilation: |
no |
| Citation: |
sparsevar citation info |
| Materials: |
README, NEWS |
| CRAN checks: |
sparsevar results |
Documentation:
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