CVP_RIDGEc: CV (no folds) RIDGE penalized precision matrix estimation...

In MGallow/ADMMsigma: Penalized Precision Matrix Estimation via ADMM

Description

Cross validation (no folds) function for RIDGEsigma. This function is to be used with CVP_RIDGE.

Usage

CVP_RIDGEc(n, S_train, S_valid, lam, trace = "none")

Arguments

n	sample size for X_valid (used to calculate CV_error)
S_train	pxp sample covariance matrix for training data (denominator n).
S_valid	pxp sample covariance matrix for validation data (denominator n).
lam	positive tuning parameters for ridge penalty. If a vector of parameters is provided, they should be in increasing order.
trace	option to display progress of CV. Choose one of progress to print a progress bar, print to print completed tuning parameters, or none.

Value

cross validation errors (negative validation likelihood)

MGallow/ADMMsigma documentation built on May 15, 2019, 3:23 p.m.