BigVAR-class {BigVAR} | R Documentation |
An object class to be used with cv.BigVAR
To construct an object of class BigVAR, use the function constructModel
Data
a T \times k multivariate time Series
lagmax
Maximal lag order for modeled series
intercept
Indicator as to whether an intercept should be included
Structure
Penalty Structure
Relaxed
Indicator for relaxed VAR
Granularity
Granularity of Penalty Grid
horizon
Desired Forecast Horizon
crossval
Cross-Validation Procedure
Minnesota
Minnesota Prior Indicator
verbose
Indicator for Verbose output
dates
dates extracted from an xts object
ic
Indicator for including AIC and BIC benchmarks
VARX
VARX Model Specifications
T1
Index of time series in which to start cross validation
T2
Index of times series in which to start forecast evaluation
ONESE
Indicator for "One Standard Error Heuristic"
ownlambdas
Indicator for user-supplied lambdas
tf
Indicator for transfer function
alpha
Grid of candidate alpha values (applies only to Sparse VARX-L models)
recursive
Indicator as to whether recursive multi-step forecasts are used (applies only to multiple horizon VAR models)
constvec
vector indicating variables to shrink toward a random walk instead of toward zero (valid only if Minnesota is TRUE
)
tol
optimization tolerance
lagselect
lag selection indicator
window.size
size of rolling window. If set to NULL an expanding window will be used.