obj.func: Objective function

In VARDetect: Multiple Change Point Detection in Structural VAR Models

Objective function

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

VARDetect documentation built on May 10, 2022, 9:07 a.m.