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>.
|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 <email@example.com>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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