obj.func: Objective function

In LSVAR: Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model

Description

objective function, main loss function and penalties

Usage

obj.func(x.lr, x.sparse, A, b, lambda, mu)

Arguments

x.lr	low-rank component
x.sparse	sparse component
A	design matrix
b	correspond vector
lambda	a tuning parameter for sparse component
mu	a tuning parameter for low-rank component

Value

value of objective function

LSVAR documentation built on May 26, 2021, 5:07 p.m.