RIDGEc: Ridge-penalized precision matrix estimation (c++)

Description Usage Arguments Value

Description

Ridge penalized matrix estimation via closed-form solution. Augmented from Adam Rothman's STAT 8931 code.

Usage

1
RIDGEc(S, lam)

Arguments

S

sample covariance matrix (denominator n).

lam

tuning parameter for ridge penalty.

Value

estimated Omega


ADMMsigma documentation built on May 2, 2019, 6:23 a.m.