Package: fnets 0.1.9

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:Matteo Barigozzi [aut], Haeran Cho [cre, aut], Dom Owens [aut]

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Peer review:

Bug tracker:https://github.com/haeran-cho/fnets/issues

On CRAN:

factor-modelsforecastinghigh-dimensionalnetwork-estimationtime-seriesvector-autoregression

10 exports 7 stars 1.87 score 24 dependencies 27 scripts 223 downloads

Last updated 4 months agofrom:5c07112c2d. Checks:OK: 1 WARNING: 6. Indexed: yes.

Exports:factor.numberfnetsfnets.factor.modelfnets.varnetworkpar.lrpcsim.restrictedsim.unrestrictedsim.varthreshold

Dependencies:clicodetoolscpp11doParalleldotCall64fieldsforeachglueigraphiteratorslatticelifecyclelpSolvemagrittrmapsMASSMatrixpkgconfigRColorBrewerRcpprlangspamvctrsviridisLite