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 |
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