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multivar

Penalized Estimation of Multiple-Subject Vector Autoregressive Models

v1.4.0 · Mar 30, 2026 · GPL (>= 2)

Description

Simulate, estimate, and forecast vector autoregressive (VAR) models for multiple-subject data using structured penalization. Decomposes dynamics into shared (common) and subject-specific (unique) components via adaptive LASSO with FISTA optimization. Supports cross-validation and extended BIC model selection and subgroup detection, and time-varying parameters.

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Check History

OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 23, 2026
NOTE 5 OK · 3 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 17, 2026
NOTE r-release-macos-arm64

C++ specification

Specified C++11: please drop specification unless essential
NOTE r-release-macos-x86_64

C++ specification

Specified C++11: please drop specification unless essential
NOTE r-oldrel-macos-x86_64

C++ specification

Specified C++11: please drop specification unless essential

Dependency Network

Dependencies Reverse dependencies MASS Rcpp Matrix ggplot2 vars reshape2 glmnet igraph viridis scales multivar

Version History

updated 1.4.0 ← 1.3.0 diff Mar 30, 2026
new 1.3.0 Mar 17, 2026