swMATH ID: 44385
Software Authors: Peiliang Bai
Description: R package LSVAR: Estimation of Low Rank Plus Sparse Structured Vector Auto-Regressive (VAR) Model. 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>.
Homepage: https://cran.r-project.org/web/packages/LSVAR/index.html
Source Code:  https://github.com/cran/LSVAR
Dependencies: R
Related Software: bigtime; fnets; sparsevar; BigVAR; mgm; igraph; nets; R
Cited in: 0 Publications