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Code

R packages:

multivar: Penalized estimation and forecasting of multiple subject VAR models.

detectR: Detection of change points and testing in autocovariances of high-dimensional time series.

GitHub:

LatentGaussCounts: Count time series modeling for most classic discrete marginal distributions.

BivarLRD: Modeling of bivariate long-range dependent series with general phase.

Other:

hermir: Synthesis of multivariate stationary Gaussian and non-Gaussian series/fields.