Description Usage Arguments Value Author(s)
View source: R/DESP_PEN_grad.R
This function implements the steepest descent algorithm with adaptative stepsize and scaled descent direction to solve the maximum likelihood optimization problem and get the diagonal of the precision matrix.
1 | DESP_PEN_grad(S, B, init, kappa, thresh, stepsize, tol)
|
S |
The sample covariance matrix. |
B |
The coefficient matrix. |
init |
The starting vector of the iteration. |
kappa |
The tunning paramater. |
thresh |
The threshold level. |
stepsize |
The initial step-size. |
tol |
The gradient magnitude tolerance. |
This function returns the diagonal of the precision matrix associated with the sample covariance matrix S as a vector.
Arnak Dalalyan and Samuel Balmand.
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