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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>.
Getting started
Browse package contents
Package details |
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| Author | Yangzhuoran Fin Yang [aut, cre] (<https://orcid.org/0000-0002-1232-8017>), Ziping Zhao [aut] (<https://orcid.org/0000-0002-8668-6263>) |
| Maintainer | Yangzhuoran Fin Yang <yangyangzhuoran@gmail.com> |
| License | GPL-3 |
| Version | 1.1.1 |
| URL | https://pkg.yangzhuoranyang.com/RRRR/ https://github.com/FinYang/RRRR |
| Package repository | View on CRAN |
| Installation |
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