Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Documentation for package ‘fnets’ version 0.1.2

common.predict	Forecasting the factor-driven common component
factor.number	Factor number selection methods
fnets	Factor-adjusted network estimation
fnets.factor.model	Factor model estimation
fnets.var	'l1'-regularised Yule-Walker estimation for VAR processes
idio.predict	Forecasting idiosyncratic VAR process
par.lrpc	Parametric estimation of long-run partial correlations of factor-adjusted VAR processes
plot.fnets	Plotting the networks estimated by fnets
predict.fm	Forecasting for factor models
predict.fnets	Forecasting by fnets
sim.restricted	Simulate data from a restricted factor model
sim.unrestricted	Simulate data from an unrestricted factor model
sim.var	Simulate a VAR(1) process
threshold	Edge selection for VAR parameter, inverse innovation covariance, and long-run partial correlation matrices