automatic_xxx (model selection and testing)

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josef...@gmail.com

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Jul 25, 2016, 12:55:36 PM7/25/16
to pystatsmodels
I just found an automatic VAR (vector autoregressive models) modelling
package in R with MIT license

https://github.com/roqua/autovarCore
https://github.com/roqua/autovar


This might have some interesting and useful ideas for us to add more
"automatic" features to time series models.

(besides Hyndman for forecasting, and Hendry/Doornik/PcGive for
general specification searches.)

Josef
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