LSVAR

MaRDI QIDQ7388219CRANFDO

Authors Peiliang Bai

Last update 26 May 2021

Copyright license GNU General Public License, version 2.0

Software version identifier 1.2

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) <doi:10.1109/TSP.2018.2887401>.

Cites work

• Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

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