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

AuthorGherardo Varando [aut, cre, cph] (<https://orcid.org/0000-0002-6708-1103>), Niels Richard Hansen [aut] (<https://orcid.org/0000-0003-3883-365X>)
MaintainerGherardo Varando <gherardo.varando@gmail.com>
LicenseMIT + file LICENSE
URL https://github.com/gherardovarando/gclm
Package repositoryView on CRAN
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gclm documentation built on July 1, 2020, 10:35 p.m.