Package: VARshrink
Title: Shrinkage Estimation Methods for Vector Autoregressive Models
Version: 0.5.0
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 (>= 3.6.0), vars (>= 1.6.1)
Imports: ars (>= 0.6), corpcor (>= 1.6.9), strucchange, stats, MASS,
        mvtnorm, MCMCpack
Suggests: knitr, rmarkdown, kableExtra, devtools, lintr, testthat (>=
        3.0.0)
URL: https://github.com/namgillee/VARshrink/
BugReports: https://github.com/namgillee/VARshrink/issues/
Encoding: UTF-8
VignetteBuilder: knitr
Config/roxygen2/version: 8.0.0
Config/testthat/edition: 3
Repository: https://namgillee.r-universe.dev
Date/Publication: 2026-06-17 22:06:16 UTC
RemoteUrl: https://github.com/namgillee/varshrink
RemoteRef: HEAD
RemoteSha: 8c9beb7ff89ca549d460a5bd180a1502a348738e
NeedsCompilation: no
Packaged: 2026-06-17 22:50:46 UTC; root
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>