MatrixAutoRegressions.jl
A lightweight Julia package for Matrix Autoregressive (MAR) models.
GraphicalLasso.jl
This package provides efficient tools for generating sparse covariance matrices, estimating sparse precision matrices using the graphical lasso (glasso) algorithm (Friedman, Hastie, and Tibshirani 2008; Meinshausen and Bühlmann 2006), and selecting optimal regularization parameters.
Rank Determination in Matrix Error Correction Models
Replication materials for “Detecting Cointegrating Relations in Non-Stationary Matrix-Valued Time Series”.