R Observatory: Metrics for VARshrink version 0.5.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

VARshrink

0.5.0

Shrinkage Estimation Methods for Vector Autoregressive Models

0packages depend

3.4Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Namgil LeeFirst published 2019-10-093 releasesCRAN page ↗GitHub ↗

Vector autoregressive (VAR) model is a fundamental and effective approach for multivariate time series analysis. Shrinkage estimation methods can be applied to high-dimensional VAR models with dimensionality greater than the number of observations, contrary to the standard ordinary least squares method. This package is an integrative package delivering nonparametric, parametric, and semiparametric methods in a unified and consistent manner, such as the multivariate ridge regression in Golub, Heath, and Wahba (1979) doi:10.2307/1268518, a James-Stein type nonparametric shrinkage method in Opgen-Rhein and Strimmer (2007) doi:10.1186/1471-2105-8-S2-S3, and Bayesian estimation methods using noninformative and informative priors in Lee, Choi, and S.-H. Kim (2016) doi:10.1016/j.csda.2016.03.007 and Ni and Sun (2005) doi:10.1198/073500104000000622.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("VARshrink", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("namgillee/VARshrink")

Development version from namgillee/VARshrink. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-varshrink

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-VARshrink

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-VARshrink

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 1.5 min · r-oldrel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

8

Dependencies · direct

Check history

OK2026-08-05
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 208 wordsVignettesYes · dynamicpkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 71%
Return-value docs: 100%
References docs: 24%

Downloads

3.4K

CRAN downloads in the past year

Rank #9,000 · ~9/day · ~283/mo

Releases R versions

Daily download trend is not available in this view yet.

24530 days

1K90 days

3.4K1 year

Compare downloads with other packages →

Also on143 r2u21 autocran53 c2d4u

Repository

GitHub ↗ namgillee/varshrink

3Stars

1Forks

0Open issues

0Open PRs

1Releases

147Commits

2Contributors

License GPL-3.0 · 147 commits · Last activity 2026-06-17

Stars over time

2025-02-01 · 32026-07-07 · 3

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/namgillee/varshrink on 2026-08-16.

Lint, format, editor (1)

lintr

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

12 external dependencies (excludes base and recommended)

Depends (2)

R >= 3.6.0vars

Imports (7)

ars corpcor strucchangestatsMASSmvtnorm MCMCpack

LinkingTo (0)

none

Suggests (6)

knitr rmarkdown kableExtra devtools lintr testthat (>= 3.0.0)

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

People & History

People (3)

Maintainer (1)

Namgil Lee

Author, Maintainer, Copyright holder

Authors (2)

Namgil Lee

Author, Maintainer, Copyright holder

Sung-Ho Kim

Author, Copyright holder

Contributors (1)

Heon Young Yang

Contributor

Copyright holders (2)

Namgil Lee

Author, Maintainer, Copyright holder

Sung-Ho Kim

Author, Copyright holder

Package Timeline

3 releases. Pick two to compare their code metrics. R releases are shown for context.

0.5.0Latest
2026-06-18 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
0.3.3
2026-01-10 · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
0.3.1
2019-10-09
R
R 3.6.0 released · 2019-04-26

Package metadata

First published: 2019-10-09
Total releases: 3 / 7 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 3.6.0
Download size: 260 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Time Series Analysis

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("VARshrink")

Format

Lee, N., Kim, S., & Yang, H. Y. (2026). VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models (Version 0.5.0) [Computer software]. https://doi.org/10.32614/CRAN.package.VARshrink

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for VARshrink version 0.5.0 [Data set]. HJJB, LLC. Data release v2026-08-22. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-22, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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