decodePM: Implement 'DECODE' for simple precision matrix estimation

In rDecode: Descent-Based Calibrated Optimal Direct Estimation

Description

Implement DECODE to estimate a precision matrix of X. This implementation is used in Hadimaja and Pun (2018).

Usage

decodePM(X, lambda0 = NULL, ...)

Arguments

X	nxp data matrix.
lambda0	number between 0 and 1. If NULL, will use √2logp/n.
...	additional arguments to be passed to general decode function.

Value

An object of class decodePM containing:

Omega	DECODE of Ω.
lambda0	the lambda0 used.
X	data used.
theta	final θ for each column.
lambda	final λ for each column.
total.iter	number of iterations until convergence for each column.

References

Hadimaja, M. Z., & Pun, C. S. (2018). A Self-Calibrated Regularized Direct Estimation for Graphical Selection and Discriminant Analysis.

Examples

# estimate the precision matrix of iris data
object <- decodePM(iris[,1:4], lambda0 = 0.01)

object
summary(object)

object$Omega

rDecode documentation built on Dec. 18, 2019, 5:08 p.m.