The R package RRRR provides methods for estimating online Robust Reduced-Rank Regression.

To cite package ‘RRRR’ in publications use:

Yangzhuoran Yang and Ziping Zhao (2020). RRRR: Online Robust Reduced-Rank Regression Estimation. R package version 1.0.0. https://pkg.yangzhuoranyang.com/RRRR/.

Installation

You can install the stable version on R CRAN.

You can install the development version from Github with:

Usage

The R package RRRR provides the following estimation methods.

  1. Reduced-Rank Regression using Gaussian MLE: RRR
  2. Robust Reduced-Rank Regression using Cauchy distribution and Majorisation-Minimisation: RRRR
  3. Online Robust Reduced-Rank Regression: ORRRR
    • SMM: Stochastic Majorisation-Minimisation
    • SAA: Sample Average Approximation
  4. Online update of the above model (except RRR): update.RRRR

See the vignette for a more detailed illustration.

License

This package is free and open source software, licensed under GPL-3.