This package provides several methods of estimation of the diagonal elements of a sparse precision matrix. It also includes functions for estimating robustly the off-diagonal elements of the latter by the square-root Lasso.

Package: | DESP |

Type: | Package |

Version: | 0.1-5 |

Date: | 2015-11-18 |

License: | GPL-3 |

`DESP_RV`

Estimation of DESP by residual variance

`DESP_RML`

Estimation of DESP by likelihood maximization

`DESP_SPT`

Estimation of DESP using shortest path trees

`DESP_MST`

Estimation of DESP using minimum spanning trees

`DESP_PML`

Estimation of DESP by penalized likelihood minimization

`sqR_Lasso`

Solve the square-root LASSO

`scsSOCP`

Solve a second-order cone program using SCS

`precMat`

Robust estimation of a sparse precision matrix

Arnak Dalalyan and Samuel Balmand

Maintainer: Samuel Balmand <Samuel.Balmand@ensg.eu>

Balmand, S. and Dalalyan, A. S. (2015a): On estimation of the diagonal elements of a sparse precision matrix, Posted as http://arxiv.org/abs/1504.04696.

Balmand, S. and Dalalyan, A. S. (2015b): Convex programming approach to robust estimation of a multivariate Gaussian model, Posted as http://arxiv.org/abs/1512.04734.

`mosek`

,gurobi,`scsSOCP`

, `connComp`

, `mstree.kruskal`

, `dijkstra.sp`

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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