Code

R packages:

rome (RObust M-Estimator): A C-based R package for fitting penalized robust regression models.

cxreg (CompleX-valued REGression): A Fortran-based R package for estimation and inference in complex-valued penalized regression (Lasso) and penalized Gaussian likelihood models (graphical Lasso).

multivar (multiple-subject VAR): A C++-based R package for simulation, estimation, and forecasting joint stationary vector autoregressive (VAR) models across multiple subjects.

Other GitHub repositories:

multiVARSE (multiVAR with Structural Expansion): An R-based implementation of the multiVARSE framework for jointly estimating multiple-subject VAR models, including hypothesis testing.

latent-Gaussian-TSM (Latent Gaussian Time Series Models): An R-based implementation for fitting and forecasting latent Gaussian dynamic factor models and latent Gaussian VAR models.

GRIDY (GRoup Integrative DYnamic factor models): An R-based implementation for estimation and forecasting of integrative dynamic factor models.

SPD (Stress Period Detection): An R-based implementation for detecting stress periods from passive sensing and ecological momentary assessment data.

hotspot: An R-based implementation for hotspot (identifying collections of time points associated with stress) detection.

Feedback and bug reports: If you encounter any bugs or have suggestions for improvements, please feel free to open an issue on the corresponding GitHub repository or contact me directly. I greatly appreciate your feedback. Any remaining errors are my own.