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 http://user.gurobi.com/download/gurobi-optimizer and http://www.gurobi.com/documentation/6.0/refman/r_api_overview.html.

Author
Arnak Dalalyan [aut], Samuel Balmand [aut, cre]
Date of publication
2016-04-19 13:49:58
Maintainer
Samuel Balmand <Samuel.Balmand@ensg.eu>
License
GPL-3
Version
0.2

View on CRAN

Man pages

desp
Robust estimation of a sparse precision matrix
DESP_AD
Estimation of DESP by average absolute deviation around the...
desp.cv
Selection of the tuning parameters of desp by v-fold...
DESP-internal
Internal DESP Functions
DESP_MST
Estimation of DESP using minimum spanning trees
DESP_MST_MaxDegreeRoot
MST computation
DESP_OLS_B
Estimation of B by ordinary least squares
DESP-package
Estimation of Diagonal Elements of Sparse Precision-Matrices
DESP_PEN_grad
Steepest descent algorithm for penalized maximum likelihood...
DESP_PML
Estimation of DESP by penalized likelihood minimization
DESP_RML
Estimation of DESP by relaxed likelihood maximization
DESP_RV
Estimation of DESP by residual variance
DESP_SimpleOut
Detection of simple outliers
DESP_SPT
Estimation of DESP using shortest path trees
DESP_SPT_MaxDegreeRoot
SPT computation choosing root a priori as the node of maximal...
DESP_SPT_MaxDegreeRoot2
SPT - of maximum height equal to 1 - computation choosing...
DESP_SPT_MaxWeight
Maximum weighted tree among all shortest path trees...
DESP_SqPartCorr
Squared partial correlations computation
DESP_SRL_B
Estimation of the coefficient matrix
DESP_Weighted_Graph
Graph representation from the matrix B
scsSOCP
solve a second-order cone program using SCS
sqR_Lasso
computation of beta that minimize |Y-X*beta|_2 + lambda...

Files in this package

DESP
DESP/inst
DESP/inst/doc
DESP/inst/doc/DESP.pdf
DESP/inst/doc/DESP.Rnw
DESP/inst/doc/DESP.R
DESP/src
DESP/src/scsSqR_Lasso_solve.c
DESP/src/Makevars
DESP/src/scsSolveSOCP.c
DESP/src/cdSqR_Lasso.c
DESP/src/utils.c
DESP/src/cdSqR_Lasso_solve.c
DESP/src/moderate_B.c
DESP/src/cdSqR_Lasso_solve.h
DESP/src/utils.h
DESP/src/scs
DESP/src/scs/scs.mk
DESP/src/scs/Makefile
DESP/src/scs/examples
DESP/src/scs/examples/c
DESP/src/scs/examples/c/demo.c
DESP/src/scs/examples/c/randomSOCPProb.c
DESP/src/scs/examples/c/problemUtils.h
DESP/src/scs/examples/raw
DESP/src/scs/examples/raw/demo_data
DESP/src/scs/examples/raw/randomConeFeasible
DESP/src/scs/linsys
DESP/src/scs/linsys/common.h
DESP/src/scs/linsys/direct
DESP/src/scs/linsys/direct/private.h
DESP/src/scs/linsys/direct/private.c
DESP/src/scs/linsys/direct/external
DESP/src/scs/linsys/direct/external/amd_global.c
DESP/src/scs/linsys/direct/external/amd_aat.c
DESP/src/scs/linsys/direct/external/amd.h
DESP/src/scs/linsys/direct/external/SuiteSparse_config.c
DESP/src/scs/linsys/direct/external/amd_info.c
DESP/src/scs/linsys/direct/external/amd_internal.h
DESP/src/scs/linsys/direct/external/amd_preprocess.c
DESP/src/scs/linsys/direct/external/amd_postorder.c
DESP/src/scs/linsys/direct/external/amd_control.c
DESP/src/scs/linsys/direct/external/AMD_README.txt
DESP/src/scs/linsys/direct/external/ldl.c
DESP/src/scs/linsys/direct/external/SuiteSparse_config.h
DESP/src/scs/linsys/direct/external/LDL_README.txt
DESP/src/scs/linsys/direct/external/amd_order.c
DESP/src/scs/linsys/direct/external/amd_dump.c
DESP/src/scs/linsys/direct/external/amd_defaults.c
DESP/src/scs/linsys/direct/external/amd_valid.c
DESP/src/scs/linsys/direct/external/ldl.h
DESP/src/scs/linsys/direct/external/amd_1.c
DESP/src/scs/linsys/direct/external/amd_2.c
DESP/src/scs/linsys/direct/external/amd_post_tree.c
DESP/src/scs/linsys/common.c
DESP/src/scs/linsys/amatrix.h
DESP/src/scs/linsys/indirect
DESP/src/scs/linsys/indirect/private.h
DESP/src/scs/linsys/indirect/private.c
DESP/src/scs/src
DESP/src/scs/src/util.c
DESP/src/scs/src/ctrlc.c
DESP/src/scs/src/cones.c
DESP/src/scs/src/linAlg.c
DESP/src/scs/src/scs_version.c
DESP/src/scs/src/scs.c
DESP/src/scs/src/cs.c
DESP/src/scs/originalSCS
DESP/src/scs/originalSCS/README
DESP/src/scs/originalSCS/SCS_20052015.zip
DESP/src/scs/LICENSE.txt
DESP/src/scs/README.md
DESP/src/scs/include
DESP/src/scs/include/constants.h
DESP/src/scs/include/linSys.h
DESP/src/scs/include/glbopts.h
DESP/src/scs/include/normalize.h
DESP/src/scs/include/linAlg.h
DESP/src/scs/include/ctrlc.h
DESP/src/scs/include/util.h
DESP/src/scs/include/cs.h
DESP/src/scs/include/scs.h
DESP/src/scs/include/cones.h
DESP/src/scsSqR_Lasso_solve.h
DESP/src/srL_B.c
DESP/src/selective_OLS_B.c
DESP/src/scsSqR_Lasso.c
DESP/NAMESPACE
DESP/R
DESP/R/DESP_SqPartCorr.R
DESP/R/DESP_RV.R
DESP/R/DESP_PEN_grad.R
DESP/R/desp.cv.R
DESP/R/DESP_SRL_B.R
DESP/R/DESP_SPT_MaxWeight.R
DESP/R/DESP_SimpleOut.R
DESP/R/DESP_SPT_MaxDegreeRoot.R
DESP/R/sqR_Lasso.R
DESP/R/DESP_OLS_B.R
DESP/R/DESP_MST_MaxDegreeRoot.R
DESP/R/scsSOCP.R
DESP/R/DESP_RML.R
DESP/R/desp.R
DESP/R/DESP_MST.R
DESP/R/DESP_SPT.R
DESP/R/DESP_Weighted_Graph.R
DESP/R/DESP_PML.R
DESP/R/DESP_SPT_MaxDegreeRoot2.R
DESP/vignettes
DESP/vignettes/DESP.Rnw
DESP/MD5
DESP/README
DESP/build
DESP/build/vignette.rds
DESP/DESCRIPTION
DESP/ChangeLog
DESP/man
DESP/man/DESP_RV.Rd
DESP/man/DESP_SimpleOut.Rd
DESP/man/DESP_PML.Rd
DESP/man/DESP_SPT_MaxDegreeRoot.Rd
DESP/man/DESP_SPT_MaxWeight.Rd
DESP/man/DESP_SqPartCorr.Rd
DESP/man/DESP-package.Rd
DESP/man/DESP-internal.Rd
DESP/man/DESP_MST.Rd
DESP/man/DESP_SPT.Rd
DESP/man/DESP_SPT_MaxDegreeRoot2.Rd
DESP/man/DESP_Weighted_Graph.Rd
DESP/man/sqR_Lasso.Rd
DESP/man/desp.Rd
DESP/man/scsSOCP.Rd
DESP/man/DESP_OLS_B.Rd
DESP/man/desp.cv.Rd
DESP/man/DESP_RML.Rd
DESP/man/DESP_PEN_grad.Rd
DESP/man/DESP_AD.Rd
DESP/man/DESP_MST_MaxDegreeRoot.Rd
DESP/man/DESP_SRL_B.Rd