gradf.func

A vector, or matrix, indicating the model parameter

A p by p Gram matrix for corresponding design matrix A

An inner product for design matrix A and corresponding matrix (vector) b

Gradient function of quardratic loss

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>.

gradf.func: Gradient function of quardratic loss

Description

Usage

Arguments

Value