Package: fnets 0.2.0
fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024) <arxiv:2301.11675> accompanying the R package.
Authors:
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fnets.pdf |fnets.html✨
fnets/json (API)
| # Install 'fnets' in R: |
| install.packages('fnets', repos = c('https://haeran-cho.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/haeran-cho/fnets/issues
- data.restricted - Simulated data from the restricted factor-adjusted vector autoregression model
- data.unrestricted - Simulated data from the unrestricted factor-adjusted vector autoregression model
factor-modelsforecastinghigh-dimensionalnetwork-estimationtime-seriesvector-autoregression
Last updated 3 days agofrom:89da3c3b59. Checks:OK: 1 WARNING: 8. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 20 2024 |
| R-4.5-win-x86_64 | WARNING | Nov 20 2024 |
| R-4.5-linux-x86_64 | WARNING | Nov 20 2024 |
| R-4.4-win-x86_64 | WARNING | Nov 20 2024 |
| R-4.4-mac-x86_64 | WARNING | Nov 20 2024 |
| R-4.4-mac-aarch64 | WARNING | Nov 20 2024 |
| R-4.3-win-x86_64 | WARNING | Nov 20 2024 |
| R-4.3-mac-x86_64 | WARNING | Nov 20 2024 |
| R-4.3-mac-aarch64 | WARNING | Nov 20 2024 |
Exports:cv_truncfactor.numberfnetsfnets.factor.modelfnets.varnetworkpar.lrpcsim.restrictedsim.unrestrictedsim.varthreshold
Dependencies:clicodetoolscpp11doParalleldotCall64fieldsforeachglmnetglueigraphiteratorslatticelifecyclelpSolvemagrittrmapsMASSMatrixpkgconfigplyrRColorBrewerRcppRcppEigenrlangshapespamsurvivalvctrsviridisLite
