hierband: Convex Banding of the Covariance Matrix

Implementation of the convex banding procedure (using a hierarchical group lasso penalty) for covariance estimation that is introduced in Bien, Bunea, Xiao (2015) Convex Banding of the Covariance Matrix. Accepted for publication in JASA.

Package details

AuthorJacob Bien <[email protected]>, Florentina Bunea, and Luo Xiao
MaintainerJacob Bien <[email protected]>
Package repositoryView on CRAN
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hierband documentation built on May 29, 2017, 5:37 p.m.