CRAN

onlineVAR 0.1-1

Online Fitting of Time-Adaptive Lasso Vector Auto Regression

Released May 8, 2019 by Jakob Messner

This package can be loaded by Renjin but all tests failed.

Dependencies

lattice 0.20-38

Functions for recursive online fitting of time-adaptive lasso vector auto regression. A recursive coordinate descent algorithm is used to estimate sparse vector auto regressive models and exponential forgetting is applied to allow model changes. Details can be found in Jakob W. Messner and Pierre Pinson (2018). "Online adaptive LASSO estimation in Vector Auto Regressive models for wind power forecasting in high dimension". International Journal of Forecasting, in press. .

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>onlineVAR</artifactId>
    <version>0.1-1-b1</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:onlineVAR')

Test Results

This package was last tested against Renjin 0.9.2726 on May 10, 2019.

Source

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Release History