desla: Desparsified Lasso inference for Time Series

Installation and Loading

Installation

To make use of this package, the easiest approach is to first install the devtools package. This can be done by running the following commands in the R console:

install.packages("devtools")
library(devtools)

You can then install the desla package from the GitHub depository by running:

devtools::install_github("RobertAdamek/desla")

Load Package

After installation, the package can be loaded in the standard way:

library(desla)

Usage

The package contains one function (also called “desla”). For details on how to use it, you can access the function documentation with the command:

?desla

An example of how the desla function can be used:

X<-matrix(rnorm(100*100), nrow=100)
y<-X[,1:4] %*% c(1, 2, 3, 4) + rnorm(100)
H<-c(1, 2, 3, 4)
d<-desla(X, y, H)