hierband: Convex Banding of the Covariance Matrix

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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.

Author
Jacob Bien <jbien@cornell.edu>, Florentina Bunea, and Luo Xiao
Date of publication
2015-06-13 00:52:38
Maintainer
Jacob Bien <jbien@cornell.edu>
License
GPL-3
Version
1.0

View on CRAN

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.

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