This project is an complementar material for the article 'High dimensional AR processes with low rank transition', by P. Alquier, K. Bertin, P. Doukhan and R. Garnier . It proposed a notebook which implements the algorithms proposed in the article
The notebooks used Python 3.6, and some usual packages in Machine Learning and Data Visualisation (jupyter, pandas, numpy and matplotlib). The easiest way to use it is to download Anaconda which contains the package used in the notebook.
Another way is to install Python 3.6, then to install the required packages using the package manager pip in the console :
pip install jupyter
pip install numpy
...Once installed, run Jupyter in the folder where you download the files:
jupyter notebookAnd select the file 'low rank AR(1) Simulation.ipynb'