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The MATLAB folder contains two implementations of the estimator suggested in https://arxiv.org/abs/1512.06412 .
The RCode folder contains an Alternative Direction Method of Multipliers implementation of the so-called "Low-Rank plus Sparse" estimator suggested in https://projecteuclid.org/euclid.aos/1351602527 .
More help is available in the corresponding directories.
For any questions: benjamin dot frot at stat dot math dot ethz dot ch .