RRRR

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.