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
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:

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