subdiag.thresh: Performs a single pass of BCD on a matrix R.

In hierband: Convex Banding of the Covariance Matrix

Description

To solve the unconstrained problem, R is Sigmahat. To solve constrained problem, R is the current partial residual (excluding A terms).

Usage

subdiag.thresh(R, lam, w = NULL)

Arguments

R	p-by-p symmetric matrix
lam	Non-negative penalty parameter. Controls sparsity level.
w	(p-1)-by-(p-1) lower-triangular matrix (above diagonal ignored). w[l,] gives the l weights for g_l. Defaults to w[l,m]=sqrt(2 * l)/(l - m + 1) for m <= l

hierband documentation built on May 2, 2019, 4:16 a.m.