Description Usage Arguments Value Examples
This routine use k fold cross validation to chose tuning parameter
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data |
The full dataset, should be a matrix or a data.frame, row as sample |
k |
number of folds |
covest |
a *function* or name of a function (string) that takes a matrix to estimate covariance |
rhos |
a vector of tuning parameter to be tested |
evaluation |
a *function* or name of a function (string) that takes only two arguments, the estimated covariance and the test covariance, when NULL, we use negative log likelihood on test sets |
... |
extra arguments send to glasso |
a matrix with k rows, each row is the evaluation loss of that fold
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