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

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) .


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install.packages("LSVAR")

1.2 by Peiliang Bai, a month ago


Browse source code at https://github.com/cran/LSVAR


Authors: Peiliang Bai [aut, cre]


Documentation:   PDF Manual  


GPL-2 license


Imports igraph, mvtnorm, pracma

Suggests rmarkdown, knitr


See at CRAN