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.

Package details

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
Installation Install the latest version of this package by entering the following in R:
install.packages("hierband")

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hierband documentation built on May 29, 2017, 5:37 p.m.