R Jupyter Notebooks showcasing the lrpsadmm R package: https://github.com/benjaminfrot/lrpsadmm
Current Notebooks:
- (Optional, not related to the package) Download and prepare SP500 data used in the other notebooks: Link to notebook. The data is already in the /data/ directory.
- Simple application to financial data showcasing the basic functions. Run cross-validation, fit a regularisation path: Link to notebook
- Tutorial showing how to force some entries to be set to zero in the sparse matrix and how to limit the rank of the low-rank component when performing cross-validation or computing a path. Link to notebook
- LRPS+GES. Implementation and tutorial for the LRpS+GES method introduced in https://rss.onlinelibrary.wiley.com/doi/10.1111/rssb.12315. Link to notebook