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R codes for "Sparse Vector Autoregressive Modeling" by Davis, Zang and Zheng (2016)

Richard A. Davis; Pengfei Zang; Tian Zheng

Title:
R codes for "Sparse Vector Autoregressive Modeling" by Davis, Zang and Zheng (2016)
Author(s):
Davis, Richard A.
Zang, Pengfei
Zheng, Tian
Date:
Type:
Software
Department(s):
Statistics
Persistent URL:
Abstract:
R codes for the following publication: Davis, Richard A., Pengfei Zang, and Tian Zheng. "Sparse vector autoregressive modeling." Journal of Computational and Graphical Statistics 25.4 (2016): 1077-1096. DOI: 10.1080/10618600.2015.1092978
Subject(s):
Statistics
Multivariate analysis
Sparse matrices
Item views
36
Metadata:
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Suggested Citation:
Richard A. Davis, Pengfei Zang, Tian Zheng, , R codes for "Sparse Vector Autoregressive Modeling" by Davis, Zang and Zheng (2016), Columbia University Academic Commons, .

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