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.
Estimation of DESP by residual variance
Estimation of DESP by likelihood maximization
Estimation of DESP using shortest path trees
Estimation of DESP using minimum spanning trees
Estimation of DESP by penalized likelihood minimization
Solve the square-root LASSO
Solve a second-order cone program using SCS
Robust estimation of a sparse precision matrix
Arnak Dalalyan and Samuel Balmand
Maintainer: Samuel Balmand <[email protected]>
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.
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