hierband: Convex Banding of the Covariance Matrix
Version 1.0

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.

AuthorJacob Bien <jbien@cornell.edu>, Florentina Bunea, and Luo Xiao
Date of publication2015-06-13 00:52:38
MaintainerJacob Bien <jbien@cornell.edu>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("hierband")

Getting started

Package overview
Using the hierband package

Popular man pages

formw: Form the "general weights" matrix
gpband: Groupwise soft-thresholds subdiagonals by lam * w
hierband.cv: Performs nfolds-cross validation
hierband-package: Convex banding of the covariance matrix using
hierband.path: Solves main optimization problem over a grid of lambda values
lam.max.hierband: Computes the smallest lambda such that P=0.
ma: Covariance of an equal-weighted moving-average process
See all...

All man pages Function index File listing

Man pages

banded: Generates a banded covariance matrix and matrix squareroot...
formw: Form the "general weights" matrix
gpband: Groupwise soft-thresholds subdiagonals by lam * w
hierband: Solves main optimization problem for fixed lambda value
hierband.cv: Performs nfolds-cross validation
hierband-package: Convex banding of the covariance matrix using
hierband.path: Solves main optimization problem over a grid of lambda values
lam.max.hierband: Computes the smallest lambda such that P=0.
ma: Covariance of an equal-weighted moving-average process
MakeFolds: Make folds for cross validation
subdiagonal.l2norms: Compute the L2 norm of each subdiagonal of a symmetric matrix...
subdiag.thresh: Performs a single pass of BCD on a matrix R.

Functions

MakeFolds Man page Source code
banded Man page Source code
formw Man page Source code
gpband Man page Source code
hierband Man page Source code
hierband-package Man page
hierband.cv Man page Source code
hierband.path Man page Source code
lam.max.hierband Man page Source code
ma Man page Source code
subdiag.thresh Man page Source code
subdiagonal.l2norms Man page Source code

Files

inst
inst/doc
inst/doc/hierband-vignette.Rmd
inst/doc/hierband-vignette.html
inst/doc/hierband-vignette.R
src
src/subdiag.c
NAMESPACE
R
R/ma.R
R/hierband-package.R
R/hierband.cv.R
R/hierband.R
R/hierband.path.R
vignettes
vignettes/hierband-vignette.Rmd
MD5
build
build/vignette.rds
DESCRIPTION
man
man/MakeFolds.Rd
man/lam.max.hierband.Rd
man/gpband.Rd
man/hierband.cv.Rd
man/subdiag.thresh.Rd
man/formw.Rd
man/hierband-package.Rd
man/banded.Rd
man/subdiagonal.l2norms.Rd
man/hierband.Rd
man/ma.Rd
man/hierband.path.Rd
hierband documentation built on May 19, 2017, 3:18 p.m.

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