sparse.pen

lambda

<p>L1-norm penalty for sparse component</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

sparse.pen: L1-norm penalty for sparse component

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