hdiVAR

cranv1.0.2

Statistical Inference for Noisy Vector Autoregression. The model is high-dimensional vector autoregression with measurement error, also known as linear gaussian state-space model. Provable sparse expectation-maximization algorithm is provided for the estimation of transition matrix and noise variances. Global and simultaneous testings are implemented fo

License GPL (>= 2)0 versions1 maintainers2 deps83 weekly dl
https://CRAN.R-project.org/package=hdiVAR
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First published · 2023-05-14 23:51:11

Last updated · 2023-05-14T21:00:02+00:00