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+) <doi:10.48550/arXiv.2301.11675> accompanying the R package.
| Version: |
0.1.6 |
| Depends: |
R (≥ 4.1.0) |
| Imports: |
lpSolve, parallel, doParallel, foreach, MASS, fields, igraph, RColorBrewer |
| Suggests: |
testthat (≥ 3.0.0) |
| Published: |
2024-01-23 |
| DOI: |
10.32614/CRAN.package.fnets |
| Author: |
Matteo Barigozzi [aut],
Haeran Cho [cre, aut],
Dom Owens [aut] |
| Maintainer: |
Haeran Cho <haeran.cho at bristol.ac.uk> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| Materials: |
README |
| In views: |
TimeSeries |
| CRAN checks: |
fnets results |
Documentation:
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