Convex banding of the covariance matrix using
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
Jacob Bien email@example.com, Florentina Bunea, Luo Xiao
Bien, J., Bunea, F. Xiao, L. (2014) "Convex banding of the covariance matrix." Accepted for publication in JASA.