fnets

swMATH44384CRANfnetsMaRDI QIDQ1349575

Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Dom Owens, Matteo Barigozzi, Haeran Cho

Last update: 23 January 2024

Copyright license: GNU General Public License

Software version identifier: 0.1.2, 0.1.1, 0.1.3, 0.1.4, 0.1.5, 0.1.6

Source code repository: https://github.com/cran/fnets

Description

Implements methods for network estimation and forecasting of high-dimensional time series exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model. See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.

Cites work

• fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
• FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

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