r-LSVAR

Description

Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model.

Description

Implementations of estimation algorithm of low rank plus sparse structured VAR model by using Fast Iterative Shrinkage-Thresholding Algorithm (FISTA). It relates to the algorithm in Sumanta, Li, and Michailidis (2019) <doi:10.1109/TSP.2018.2887401>.

Metadata

Version

1.2

License

Unknown

Platforms (75)

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none

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armv6l-none
armv7a-darwin
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avr-none
i686-cygwin
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javascript-ghcjs
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Platforms75 (75)

Platforms (75)