R: Statistical Inference for Noisy Vector Autoregression

# Statistical Inference for Noisy Vector Autoregression

## Documentation for package ‘hdiVAR’ version 1.0.2

- DESCRIPTION file
- User guides, package vignettes and other documentation

## Help Pages

CV_VARMLE | cross-validation for transition matrix update in maximization step
Estep | expectation step in sparse expectation-maximization algorithm
hdVARtest | statistical inference for transition matrix in high-dimensional vector autoregression with measurement error
kalman | kalman filtering and smoothing for vector autoregression with measurement error
Mstep | maximization step of sparse expectation-maximization algorithm for updating error standard deviations
sEM | sparse expectation-maximization algorithm for high-dimensional vector autoregression with measurement error
VARMLE | generalized Dantzig selector for transition matrix update in maximization step