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) .


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install.packages("RRRR")

1.1.0 by Yangzhuoran Yang, 2 months ago


https://pkg.yangzhuoranyang.com/RRRR/, https://github.com/FinYang/RRRR


Report a bug at https://github.com/FinYang/RRRR/issues/


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


Authors: Yangzhuoran Yang [aut, cre] , Ziping Zhao [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports matrixcalc, expm, ggplot2, magrittr, mvtnorm, stats

Suggests lazybar, knitr, rmarkdown


See at CRAN