Online Robust Reduced-Rank Regression Estimation

Methods for estimating online robust reduced-rank regression. The Gaussian maximum likelihood estimation method is described in Johansen, S. (1991) . The majorisation-minimisation estimation method is partly described in Zhao, Z., & Palomar, D. P. (2017) . The description of the generic stochastic successive upper-bound minimisation method and the sample average approximation can be found in Razaviyayn, M., Sanjabi, M., & Luo, Z. Q. (2016) .