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LSVAR: Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model
Implementations of estimation algorithm of low rank plus sparse structured VAR model by using Fast Iterative Shrinkage-Thresholding Algorithm (FISTA). It relates to the algorithm in Sumanta, Li, and Michailidis (2019) <doi:10.1109/TSP.2018.2887401>.
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Package details |
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| Author | Peiliang Bai [aut, cre] |
| Maintainer | Peiliang Bai <baipl92@ufl.edu> |
| License | GPL-2 |
| Version | 1.2 |
| Package repository | View on CRAN |
| Installation |
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