autovarCore
1.0-4Automated Vector Autoregression Models and Networks
Overview
Automatically find the best vector autoregression models and networks for a given time series data set. 'AutovarCore' evaluates eight kinds of models: models with and without log transforming the data, lag 1 and lag 2 models, and models with and without weekday dummy variables. For each of these 8 model configurations, 'AutovarCore' evaluates all possible combinations for including outlier dummies (at 2.5x the standard deviation of the residuals) and retains the best model. Model evaluation includes the Eigenvalue stability test and a configurable set of residual tests. These eight models are further reduced to four models because 'AutovarCore' determines whether adding weekday dummies improves the model fit.
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- Examples that run
- 92%
- Documented parameters
- 90%
- Return-value docs
- 100%
- References docs
- 3%
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Code & Tests
People & History
3 releases. Pick two to compare their code metrics. R releases are shown for context.
- RR 4.0.0 released · 2020-04-24
- archivedRemoved from CRAN2019-12-21check problems were not corrected in time
- RR 3.6.0 released · 2019-04-26
- 1.0-42018-06-04 · diff ↗
- RR 3.5.0 released · 2018-04-23
- 1.0-22018-01-29 · diff ↗
- RR 3.4.0 released · 2017-04-21
- RR 3.3.0 released · 2016-05-03
- 1.0-02015-06-29
- RR 3.2.0 released · 2015-04-16
Package metadata
- Total releases
- 3
- License
- MIT + file LICENSE OSI
- Download size
- not tracked yet
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