`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 jbien@cornell.edu, Florentina Bunea, Luo Xiao

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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.