DESP: Estimation of Diagonal Elements of Sparse Precision-Matrices

Several estimators of the diagonal elements of a sparse precision (inverse covariance) matrix from a sample of Gaussian vectors for a given matrix of estimated marginal regression coefficients. Moreover, a robust estimator of the precision matrix is proposed. To install package 'gurobi', instructions at <> and <>.

Package details

AuthorArnak Dalalyan [aut], Samuel Balmand [aut, cre]
MaintainerSamuel Balmand <>
Package repositoryView on CRAN
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DESP documentation built on May 29, 2017, 9:27 p.m.