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

AuthorPeiliang Bai [aut, cre]
MaintainerPeiliang Bai <>
Package repositoryView on CRAN
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LSVAR documentation built on May 26, 2021, 5:07 p.m.