Description Details Author(s) References

`hierband`

is the R package implementing the convex banding approach to covariance estimation of Bien, Bunea, & Xiao (see full reference below).

The package is designed for situations in which there is a large number of variables that have a known ordering and in which it is believed that variables far apart in this ordering have little to no dependence.

It is called `hierband`

(pronounced "hair band") because it makes use of a hierarchical group lasso penalty and provides a banded estimate of the covariance matrix.

Its main functions are `hierband`

, `hierband.path`

, `hierband.cv`

.

Jacob Bien [email protected], Florentina Bunea, Luo Xiao

Bien, J., Bunea, F. Xiao, L. (2014) "Convex banding of the covariance matrix." Accepted for publication in JASA.

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