This repo includes an R package for fitting Bayesian Cector Autoregressive (VAR) models with optional shrinkage priors on coefficient estimates
Documentation for the package is here: https://atsa-es.github.io/varlasso/
This work extends the MARSS package (which provides similar models in a maximum likelihood setting). MARSS: https://cran.r-project.org/web/packages/MARSS/index.html
And more material can be found on our Applied Time Series website, https://atsa-es.github.io/
To install the package, use
# install.packages("remotes")
remotes::install_github("atsa-es/varlasso")A paper describing applications of these methods to VAR problems is in PeerJ,
Ward, E.J., K.N. Marshall, and M.D. Scheuerell. 2022. Regularizing priors for Bayesian VAR applications to large ecological datasets, PeerJ
And the citation for this repository is
