VARshrink

cranv0.3.3

Shrinkage Estimation Methods for Vector Autoregressive Models. Vector autoregressive (VAR) model is a fundamental and effective approach for multivariate time series analysis. Shrinkage estimation methods can be applied to high-dimensional VAR models with dimensionality greater than the number of observations, contrary to the standard ordinary least squares met

License GPL (>= 3)0 versions1 maintainers7 deps67 weekly dl
namgillee/VARshrink/
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Dependencies (7)
varsarscorpcorstrucchangestatsMASSmvtnorm
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First published · 2026-01-10 02:30:42

Last updated · 2026-01-09T23:40:28+00:00