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tomaskrehlik / frequencyConnectedness

Spectral decomposition of spillover measures
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GenFEVD with a penalty #11

Closed Manfretto closed 4 years ago

Manfretto commented 4 years ago

Dear,

Many thanks for creating these functions, really stunning!

However, I would like to use a Penalized Vector Autoregression instead of the regular VAR estimates, as is required in the function. Can you help me how I can implement a penalized VAR estimate? I would like to for example make an implementation with the Big.Var package from R, since that one has a LASSO penalty option.

Hope to hear from you!

Best,

Bart

tomaskrehlik commented 4 years ago

There is an example of Big.Var estimation in the README page.