loggle: Local Group Graphical Lasso Estimation

Provides a set of methods that learn time-varying graphical models based on data measured over a temporal grid. The underlying statistical model is motivated by the needs to describe and understand evolving interacting relationships among a set of random variables in many real applications, for instance the study of how stocks interact with each other and how such interactions change over time. The time-varying graphical models are estimated under the assumption that the graph topology changes gradually over time. For more details on estimating time-varying graphical models, please refer to: Yang, J. & Peng, J. (2018) <arXiv:1804.03811>.

install.packages("loggle")

Try the loggle package in your browser