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.

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

View on CRAN

Files in this package

hierband
hierband/inst
hierband/inst/doc
hierband/inst/doc/hierband-vignette.Rmd
hierband/inst/doc/hierband-vignette.html
hierband/inst/doc/hierband-vignette.R
hierband/src
hierband/src/subdiag.c
hierband/NAMESPACE
hierband/R
hierband/R/ma.R hierband/R/hierband-package.R hierband/R/hierband.cv.R hierband/R/hierband.R hierband/R/hierband.path.R
hierband/vignettes
hierband/vignettes/hierband-vignette.Rmd
hierband/MD5
hierband/build
hierband/build/vignette.rds
hierband/DESCRIPTION
hierband/man
hierband/man/MakeFolds.Rd hierband/man/lam.max.hierband.Rd hierband/man/gpband.Rd hierband/man/hierband.cv.Rd hierband/man/subdiag.thresh.Rd hierband/man/formw.Rd hierband/man/hierband-package.Rd hierband/man/banded.Rd hierband/man/subdiagonal.l2norms.Rd hierband/man/hierband.Rd hierband/man/ma.Rd hierband/man/hierband.path.Rd

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