Sponsored through Google's "Summer of Code" program, I constructed an R package which allows for the efficient forecasting of high dimensional multivariate time series via regularization methods using both the VARX-L and HVAR frameworks. The package manual is available here and the package source here The package is also hosted on Github.
A demonstration of some of the capabilities of my package "BigVAR" is now available as a shiny app.
As part of a class project, I constructed a simple R package which simulates and determines basic properties of discrete state, discrete time Markov chains. It is available on cran.