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

Davis, Richard A.; Zang, Pengfei; Zheng, Tian

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

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