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LSVAR  

Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model
View on CRAN: Click here


Download and install LSVAR package within the R console
Install from CRAN:
install.packages("LSVAR")

Install from Github:
library("remotes")
install_github("cran/LSVAR")

Install by package version:
library("remotes")
install_version("LSVAR", "1.2")



Attach the package and use:
library("LSVAR")
Maintained by
Peiliang Bai
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-05-26
Latest Update: 2021-05-26
Description:
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) .
How to cite:
Peiliang Bai (2021). LSVAR: Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model. R package version 1.2, https://cran.r-project.org/web/packages/LSVAR. Accessed 21 Nov. 2024.
Previous versions and publish date:
No previous versions
Other packages that cited LSVAR R package
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Other R packages that LSVAR depends, imports, suggests or enhances
Complete documentation for LSVAR
Functions, R codes and Examples using the LSVAR R package
Some associated functions: Q.func . f.func . fista.LpS . gradf.func . nuclear.pen . obj.func . plot_network . prox.nuclear.func . prox.sparse.func . shrinkage.lr . shrinkage . sparse.pen . summary.LSVAR . testVAR . 
Some associated R codes: LSVAR.R .  Full LSVAR package functions and examples
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