RRRR-package

Methods for estimating online Robust Reduced-Rank Regression.

package

Methods for estimating online robust reduced-rank regression.
The Gaussian maximum likelihood estimation method is described in Johansen, S. (1991) <doi:10.2307/2938278>.
The majorisation-minimisation estimation method is partly described in Zhao, Z., & Palomar, D. P. (2017) <doi:10.1109/GlobalSIP.2017.8309093>.
The description of the generic stochastic successive upper-bound minimisation method
and the sample average approximation can be found in Razaviyayn, M., Sanjabi, M., & Luo, Z. Q. (2016) <doi:10.1007/s10107-016-1021-7>.

Yangzhuoran Yang

RRRR

Online Robust Reduced-Rank Regression Estimation

Ziping Zhao

RRRR-package function

Yangzhuoran Yang. <a href="/link/Fin.Yang%40monash.edu?package=RRRR&version=1.1.0" data-mini-rdoc="RRRR::Fin.Yang@monash.edu">Fin.Yang@monash.edu</a>
Ziping Zhao. <a href="/link/zhaoziping%40shanghaitech.edu.cn?package=RRRR&version=1.1.0" data-mini-rdoc="RRRR::zhaoziping@shanghaitech.edu.cn">zhaoziping@shanghaitech.edu.cn</a>

Author

Online Robust Reduced-Rank Regression Estimation — RRRR-package

Yangzhuoran Yang. <a href='mailto:Fin.Yang@monash.edu'>Fin.Yang@monash.edu</a>
Ziping Zhao. <a href='mailto:zhaoziping@shanghaitech.edu.cn'>zhaoziping@shanghaitech.edu.cn</a>

RRRR-package: Online Robust Reduced-Rank Regression Estimation

Description

Arguments

Author