R package SparseTSCGM: Sparse Time Series Chain Graphical Models. Computes sparse vector autoregressive coefficients and precision matrices for time series chain graphical models. Computes sparse autoregressive coefficient and precision matrices for time series chain graphical models(TSCGM). These models provide an effeicient way of simultaneously dealing with Gaussian graphical models (undirected graphs for instantaneous interactions) and Bayesian networks (directed graphs for dynamic interactions) for reconstructing instantaneous and dynamic networks from repeated multivariate time series data.

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  1. Marina Knight, Kathryn Leeming, Guy Nason, Matthew Nunes: Generalized Network Autoregressive Processes and the GNAR Package (2020) not zbMATH