CVTuningCov: Regularized Estimators of Covariance Matrices with CV Tuning
Version 1.0

This is a package for selecting tuning parameters based on cross-validation (CV) in regularized estimators of large covariance matrices. Four regularized methods are implemented: banding, tapering, hard-thresholding and soft-thresholding. Two types of matrix norms are applied: Frobenius norm and operator norm. Two types of CV are considered: K-fold CV and random CV. Usually K-fold CV use K-1 folds to train a model and the rest one fold to validate the model. The reverse version trains a model with 1 fold and validates with the rest with K-1 folds. Random CV randomly splits the data set to two parts, a training set and a validation set with user-specified sizes.

AuthorBinhuan Wang
Date of publication2014-08-15 06:56:38
MaintainerBinhuan Wang <binhuan.wang@nyumc.org>
LicenseGPL-2
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("CVTuningCov")

Getting started

Package overview

Popular man pages

AR1: Covariance Matrix with AR(1) Structure
CVTuningCov-package: Select Tuning Parameters based on CV in Regularized...
F.norm2: The Squared Frobenius Norm
random.CV: Select Tuning Parameter for Regularized Covariance Matrix by...
regular.CV: Select Tuning Parameter for Regularized Covariance Matrix by...
soft.thresholding: Soft-thresholding Operator on A Covariance Matrix
tapering: A Tapering Operator on A Matrix
See all...

All man pages Function index File listing

Man pages

AR1: Covariance Matrix with AR(1) Structure
banding: A Banding Operator on A Matrix
CVTuningCov-package: Select Tuning Parameters based on CV in Regularized...
F.norm2: The Squared Frobenius Norm
hard.thresholding: Hard-thresholding Operator on A Covariance Matrix
L2.norm2: The Squared Operator Norm
random.CV: Select Tuning Parameter for Regularized Covariance Matrix by...
regular.CV: Select Tuning Parameter for Regularized Covariance Matrix by...
soft.thresholding: Soft-thresholding Operator on A Covariance Matrix
tapering: A Tapering Operator on A Matrix

Functions

AR1 Man page Source code
CVTuningCov Man page
CVTuningCov-package Man page
F.norm2 Man page
L2.norm2 Man page Source code
banding Man page Source code
hard.thresholding Man page Source code
norm2 Source code
random.CV Man page Source code
regular.CV Man page Source code
soft.thresholding Man page Source code
tapering Man page Source code

Files

NAMESPACE
R
R/functions.R
MD5
DESCRIPTION
man
man/hard.thresholding.Rd
man/banding.Rd
man/F.norm2.rd
man/L2.norm2.rd
man/CVTuningCov-package.Rd
man/regular.CV.Rd
man/random.CV.Rd
man/soft.thresholding.Rd
man/tapering.Rd
man/AR1.Rd
CVTuningCov documentation built on May 19, 2017, 7:28 p.m.

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