Description Details Author(s) References See Also
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
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