multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive
Models
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.
| Version: |
1.4.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
methods, stats, utils, MASS, Rcpp (≥ 1.0.3), Matrix, ggplot2, vars, reshape2, glmnet, igraph, viridis, scales |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Published: |
2026-03-30 |
| DOI: |
10.32614/CRAN.package.multivar |
| Author: |
Zachary Fisher [aut, cre],
Christopher Crawford [aut],
Younghoon Kim [ctb],
Vladas Pipiras [ctb] |
| Maintainer: |
Zachary Fisher <fish.zachary at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| Materials: |
README |
| CRAN checks: |
multivar results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=multivar
to link to this page.