shockSelect: Shock selection

In shock: Slope Heuristic for Block-Diagonal Covariance Selection in High Dimensional Gaussian Graphical Models

Description

This function performs block-diagonal covariance selection for high-dimensional Gaussian graphical models.

Usage

shockSelect(expdata)

Arguments

expdata

matrix of data

Value

SHDJlabels	Vector of partition labels based on the slope heuristic dimension jump
SHRRlabels	Vector of partition labels based on the slope heuristic robust regression
capusheOutput	output of the kappa coefficient calibration capushe function

Examples

## load data to test 
data(dataTest)

## dimension of the dataset expdata
n <- dim(dataTest)[1]
p <- dim(dataTest)[2]

## perform partition of variables selection
## based on the slope heuristic
resShock <- shockSelect(dataTest)

shock documentation built on May 2, 2019, 8:55 a.m.