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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 |
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Author | Jacob Bien <jbien@cornell.edu>, Florentina Bunea, and Luo Xiao |
Maintainer | Jacob Bien <jbien@cornell.edu> |
License | GPL-3 |
Version | 1.0 |
Package repository | View on CRAN |
Installation |
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