R: Sparse Estimation of Large Time Series Models

# Sparse Estimation of Large Time Series Models

## Documentation for package ‘bigtime’ version 0.2.3

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

bigtime-package | bigtime: A package for obtaining sparse estimates of large time series models.
bigtime | bigtime: A package for obtaining sparse estimates of large time series models.
create_rand_coef_mat | Creates a random coefficient matrix
diagnostics_plot | Creates a Diagnostic Plot
diagnostics_plot.bigtime.VAR | diagnostics_plot function for VAR models
diagnostics_plot.bigtime.VARMA | diagnostics_plot function for VARMA models
diagnostics_plot.bigtime.VARX | diagnostics_plot function for VARX models
directforecast | Function to obtain h-step ahead direct forecast based on estimated VAR, VARX or VARMA model
fitted.bigtime.VAR | Gives the fitted values of a model estimated using 'sparseVAR'
fitted.bigtime.VARMA | Gives the fitted values of a model estimated using 'sparseVARMA'
fitted.bigtime.VARX | Gives the fitted values of a model estimated using 'sparseVARX'
get_ic_vals | Calculates the Information Criteria for a VAR, VARX, VARMA model
get_ic_vals.bigtime.VAR | Calculates the Information Criteria for a model estimated using 'sparseVAR'
get_ic_vals.bigtime.VARX | Calculates the Information Criteria for a model estimated using 'sparseVARX'
ic_selection | Selects the optimal penalty parameter using information criteria
is.stable | Checks whether a VAR is stable
lagmatrix | Creates Lagmatrix of Estimated Coefficients
plot.bigtime.recursiveforecast | Plots Recursive Forecasts
plot.bigtime.simVAR | Plots a simulated VAR
plot_cv | Plot the Cross Validation Error Curve for a Sparse VAR or VARX
recursiveforecast | Recursively Forecasts a VAR
residuals.bigtime.VAR | Gives the residuals for VAR models estimated using 'sparseVAR'
residuals.bigtime.VARMA | Gives the residuals for VARMA models estimated using 'sparseVARMA'
residuals.bigtime.VARX | Gives the residuals for VARX models estimated using 'sparseVARX'
simVAR | Simulates a VAR(p) with various sparsity patterns
sparseVAR | Sparse Estimation of the Vector AutoRegressive (VAR) Model
sparseVARMA | Sparse Estimation of the Vector AutoRegressive Moving Average (VARMA) Model
sparseVARX | Sparse Estimation of the Vector AutoRegressive with Exogenous Variables X (VARX) Model
summary.bigtime.simVAR | Gives a small summary of a VAR simulation
X.varx | VARX Time Series Example ('varx.example')
Y.var | VAR Time Series Example ('var.example')
Y.varma | VARMA Time Series Example ('varma.example')
Y.varx | VARX Time Series Example ('varx.example')