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.