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) .


Reference manual

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1.2 by Peiliang Bai, 8 months ago

Browse source code at

Authors: Peiliang Bai [aut, cre]

Documentation:   PDF Manual  

GPL-2 license

Imports igraph, mvtnorm, pracma

Suggests rmarkdown, knitr

See at CRAN