Overview

bvhar is header-only C++ library for multivariate time series analysis. It is used in both R and Python.

• bvhar for R
• bvhar for Python

For C++ developers

(In preparation)

For R developers

R developers can use the headers through Rcpp. You can use these by writing in your R package DESCRIPTION.

LinkingTo: 
    BH,
    Rcpp,
    RcppEigen,
    RcppSpdlog,
    RcppThread,
    bvhar

Also, you can use in your single C++ source:

// [[Rcpp::depends(BH, RcppEigen, RcppSpdlog, RcppThread, bvhar)]]
// [[Rcpp::plugins(bvhar)]]
 
// [[Rcpp::export]]
// Your C++ code

You need to add plugins attribute because the header in this package should define BVHAR_USE_RCPP macro. If the BVHAR_USE_RCPP macro is not defined, the headers does not import Rcpp.

For Python developers

(In preparation)