PDSCE-package: Positive definite sparse covariance estimators
In PDSCE: Positive Definite Sparse Covariance Estimators
PDSCE-package R Documentation
Positive definite sparse covariance estimators
Description
A package to compute and tune some positive definite and sparse covariance estimators
Details
The main functions are pdsoft, pdsoft.cv,
band.chol, and band.chol.cv.
Author(s)
Adam J. Rothman
Maintainer: Adam J. Rothman <arothman@umn.edu>
References
Rothman, A. J., Levina, E., and Zhu, J. (2010). A new approach to Cholesky-based covariance
regularization in high dimensions. Biometrika 97(3): 539-550.
Rothman, A. J. (2012). Positive definite estimators of large covariance matrices. Biometrika 99(3): 733-740
PDSCE documentation built on June 23, 2022, 9:12 a.m.
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| PDSCE-package | R Documentation |
Positive definite sparse covariance estimators
Description
A package to compute and tune some positive definite and sparse covariance estimators
Details
The main functions are pdsoft, pdsoft.cv,
band.chol, and band.chol.cv.
Author(s)
Adam J. Rothman
Maintainer: Adam J. Rothman <arothman@umn.edu>
References
Rothman, A. J., Levina, E., and Zhu, J. (2010). A new approach to Cholesky-based covariance regularization in high dimensions. Biometrika 97(3): 539-550.
Rothman, A. J. (2012). Positive definite estimators of large covariance matrices. Biometrika 99(3): 733-740
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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