DESP-package: Estimation of Diagonal Elements of Sparse Precision-Matrices
In DESP: Estimation of Diagonal Elements of Sparse Precision-Matrices

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