desla: Desparsified Lasso Inference for Time Series
Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.
Version: |
0.3.0 |
Imports: |
Rcpp, Rdpack, stats, parallelly |
LinkingTo: |
Rcpp, RcppArmadillo, RcppProgress, sitmo |
Suggests: |
ggplot2 |
Published: |
2023-06-29 |
DOI: |
10.32614/CRAN.package.desla |
Author: |
Robert Adamek [cre, aut],
Stephan Smeekes [aut],
Ines Wilms [aut] |
Maintainer: |
Robert Adamek <robertadamek94 at gmail.com> |
BugReports: |
https://github.com/RobertAdamek/desla/issues |
License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
URL: |
https://github.com/RobertAdamek/desla |
NeedsCompilation: |
yes |
Materials: |
README, NEWS |
CRAN checks: |
desla results |
Documentation:
Downloads:
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