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LSVAR: 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) <doi:10.1109/TSP.2018.2887401>.

Version: 1.2
Imports: igraph, mvtnorm, pracma
Suggests: rmarkdown, knitr
Published: 2021-05-26
DOI: 10.32614/CRAN.package.LSVAR
Author: Peiliang Bai [aut, cre]
Maintainer: Peiliang Bai <baipl92 at ufl.edu>
License: GPL-2
NeedsCompilation: no
CRAN checks: LSVAR results

Documentation:

Reference manual: LSVAR.pdf
Vignettes: LSVAR

Downloads:

Package source: LSVAR_1.2.tar.gz
Windows binaries: r-devel: LSVAR_1.2.zip, r-release: LSVAR_1.2.zip, r-oldrel: LSVAR_1.2.zip
macOS binaries: r-release (arm64): LSVAR_1.2.tgz, r-oldrel (arm64): LSVAR_1.2.tgz, r-release (x86_64): LSVAR_1.2.tgz, r-oldrel (x86_64): LSVAR_1.2.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=LSVAR to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.