# Convex banding of the covariance matrix using

### Description

`hierband`

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

### Details

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`

.

### Author(s)

Jacob Bien jbien@cornell.edu, Florentina Bunea, Luo Xiao

### References

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

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker. Vote for new features on Trello.