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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.
Getting started
Browse package contents
Package details |
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| Author | Jacob Bien <jbien@cornell.edu>, Florentina Bunea, and Luo Xiao |
| Maintainer | Jacob Bien <jbien@cornell.edu> |
| License | GPL-3 |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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