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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1.1.0 by Yangzhuoran Yang, a year ago,

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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