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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.
Package details 


Author  Jacob Bien <[email protected]>, Florentina Bunea, and Luo Xiao 
Maintainer  Jacob Bien <[email protected]> 
License  GPL3 
Version  1.0 
Package repository  View on CRAN 
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