Tools for modeling sparse high-dimensional multivariate time series
For a demonstration of the package's capabilities, see the recently updated BigVAR Tutorial or the slightly out of date user guide available on Arxiv.
Note: This package utilizes C++11, so it requires a compiler with C++11 support (which should include most modern compilers) and a later version of R (version 3.1 is the oldest that I can confirm works).
To install the development version of BigVAR, after installing the devtools package, run the following commands
library(devtools)
install_github("wbnicholson/BigVAR/BigVAR")The stable version is available on cran.
If you experience any bugs or have feature requests, contact me at wbn8@cornell.edu.