LSVAR

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

CRAN Package

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) doi:10.1109/TSP.2018.2887401.

  • Version1.2
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release05/26/2021

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  • Imports3 packages
  • Suggests2 packages