RRRR: Online Robust Reduced-Rank Regression Estimation

Methods for estimating online robust reduced-rank regression. The Gaussian maximum likelihood estimation method is described in Johansen, S. (1991) <doi:10.2307/2938278>. The majorisation-minimisation estimation method is partly described in Zhao, Z., & Palomar, D. P. (2017) <doi:10.1109/GlobalSIP.2017.8309093>. The description of the generic stochastic successive upper-bound minimisation method and the sample average approximation can be found in Razaviyayn, M., Sanjabi, M., & Luo, Z. Q. (2016) <doi:10.1007/s10107-016-1021-7>.

Package details

AuthorYangzhuoran Yang [aut, cre] (<https://orcid.org/0000-0002-1232-8017>), Ziping Zhao [aut] (<https://orcid.org/0000-0002-8668-6263>)
MaintainerYangzhuoran Yang <Fin.Yang@monash.edu>
URL https://pkg.yangzhuoranyang.com/RRRR/ https://github.com/FinYang/RRRR
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the RRRR package in your browser

Any scripts or data that you put into this service are public.

RRRR documentation built on July 8, 2020, 5:51 p.m.