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

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Documentation for package ‘LSVAR’ version 1.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

f.func	Main loss function for quardratic loss
fista.LpS	A function to solve low rank plus sparse model estimation using FISTA algorithm
gradf.func	Gradient function of quardratic loss
nuclear.pen	Nuclear norm penalty for low-rank component
obj.func	Objective function
plot_network	plot sparse component for use igraph and network layout
prox.nuclear.func	Proximal function with nuclear norm penalty updating
prox.sparse.func	Proximal function with l1-norm penalty updating
Q.func	An auxiliary function in FISTA algorithm
shrinkage	Shrinkage function for sparse soft-thresholding
shrinkage.lr	Shrinkage function for low-rank soft-thresholding
sparse.pen	L1-norm penalty for sparse component
summary.LSVAR	Summary of LSVAR S3 class
testVAR	Function to generate a VAR process