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 <[email protected]>, Florentina Bunea, and Luo Xiao|
|Date of publication||2015-06-13 00:52:38|
|Maintainer||Jacob Bien <[email protected]>|
|Package repository||View on CRAN|
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