kevinbai92/LSvarEstimate: Low Rank Plus Sparse VAR Model Estimation
Estimate the transition matrix of low rank plus sparse structured VAR time series. Separate the low rank and the sparse components and estimate them simultaneously with FISTA algorithm.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Peiliang Bai <baipl92@ufl.edu> |
| Maintainer | Peiliang Bai <baipl92@ufl.edu> |
| License | GPL-2 |
| Version | 0.1.1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
|
