Package: VARshrink
Title: Shrinkage Estimation Methods for Vector Autoregressive Models
Version: 0.3.3
Authors@R: c(
    person("Namgil", "Lee", role = c("aut", "cre", "cph"),
           email = "namgil.lee@kangwon.ac.kr",
           comment = c(ORCID = "0000-0003-0593-9028")),
    person("Heon Young", "Yang", role = c("ctb"),
           email = "hyyang@kangwon.ac.kr"),
    person("Sung-Ho", "Kim", role = c("aut", "cph"),
           email = "sung-ho.kim@kaist.edu")
    )
Description: 
    Vector autoregressive (VAR) model is a fundamental and effective approach
    for multivariate time series analysis. Shrinkage estimation methods can be
    applied to high-dimensional VAR models with dimensionality greater than
    the number of observations, contrary to the standard ordinary least squares
    method. This package is an integrative package delivering nonparametric,
    parametric, and semiparametric methods in a unified and consistent manner,
    such as the multivariate ridge regression in Golub, Heath, and Wahba (1979)
    <doi:10.2307/1268518>, a James-Stein type nonparametric shrinkage method in
    Opgen-Rhein and Strimmer (2007) <doi:10.1186/1471-2105-8-S2-S3>, and
    Bayesian estimation methods using noninformative and informative priors
    in Lee, Choi, and S.-H. Kim (2016) <doi:10.1016/j.csda.2016.03.007> and
    Ni and Sun (2005) <doi:10.1198/073500104000000622>.
License: GPL (>= 3)
Depends: R (>= 3.5.0)
Imports: vars (>= 1.6.1), ars (>= 0.6), corpcor (>= 1.6.9),
        strucchange, stats, MASS, mvtnorm
Suggests: knitr, rmarkdown, kableExtra
URL: https://github.com/namgillee/VARshrink/
BugReports: https://github.com/namgillee/VARshrink/issues/
Encoding: UTF-8
RoxygenNote: 7.3.2
VignetteBuilder: knitr
NeedsCompilation: no
Packaged: 2026-01-10 00:25:55 UTC; namgil
Author: Namgil Lee [aut, cre, cph] (ORCID:
    <https://orcid.org/0000-0003-0593-9028>),
  Heon Young Yang [ctb],
  Sung-Ho Kim [aut, cph]
Maintainer: Namgil Lee <namgil.lee@kangwon.ac.kr>
Repository: CRAN
Date/Publication: 2026-01-10 00:40:28 UTC
Built: R 4.6.0; ; 2026-04-27 20:57:25 UTC; unix
