LSVAR (version 1.2)

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

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) .

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Version

Install

install.packages('LSVAR')

Monthly Downloads

164

Version

1.2

License

GPL-2

Maintainer

Peiliang Bai

Last Published

May 26th, 2021

Functions in LSVAR (1.2)

shrinkage.lr

Shrinkage function for low-rank soft-thresholding

f.func

Main loss function for quardratic loss

testVAR

Function to generate a VAR process

summary.LSVAR

Summary of LSVAR S3 class

sparse.pen

L1-norm penalty for sparse component

shrinkage

Shrinkage function for sparse soft-thresholding

nuclear.pen

Nuclear norm penalty for low-rank component

prox.sparse.func

Proximal function with l1-norm penalty updating

obj.func

Objective function

fista.LpS

A function to solve low rank plus sparse model estimation using FISTA algorithm

gradf.func

Gradient function of quardratic loss

prox.nuclear.func

Proximal function with nuclear norm penalty updating

Q.func

An auxiliary function in FISTA algorithm

plot_network

plot sparse component for use igraph and network layout