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gclm: Graphical Continuous Lyapunov Models
Estimation of covariance matrices as solutions of continuous time Lyapunov equations. Sparse coefficient matrix and diagonal noise are estimated with a proximal gradient method for an l1-penalized loss minimization problem. Varando G, Hansen NR (2020) <arXiv:2005.10483>.
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Package details |
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| Author | Gherardo Varando [aut, cre, cph] (<https://orcid.org/0000-0002-6708-1103>), Niels Richard Hansen [aut] (<https://orcid.org/0000-0003-3883-365X>) |
| Maintainer | Gherardo Varando <gherardo.varando@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.0.1 |
| URL | https://github.com/gherardovarando/gclm |
| Package repository | View on CRAN |
| Installation |
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