shrinkage.lr

<p>A matrix, or a vector for thresholding</p>

<p>Shrinkage function for low-rank soft-thresholding</p>

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>.

Peiliang Bai

shrinkage.lr: Shrinkage function for low-rank soft-thresholding

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