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:
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