RIDGEc: Ridge-penalized precision matrix estimation (c++)
In MGallow/shrink: Shrinking Characteristics of Precision Matrix Estimators
Description
Usage
Arguments
Value
Description
Ridge penalized matrix estimation via closed-form solution. Augmented from Adam Rothman's STAT 8931 code.
Usage
1
RIDGEc(S, lam)
Arguments
S
sample covariance matrix (denominator n).
lam
tuning parameter for ridge penalty.
Value
estimated Omega
MGallow/shrink documentation built on May 7, 2019, 10:54 a.m.
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Description Usage Arguments Value
Description
Ridge penalized matrix estimation via closed-form solution. Augmented from Adam Rothman's STAT 8931 code.
Usage
1 | RIDGEc(S, lam)
|
Arguments
S |
sample covariance matrix (denominator n). |
lam |
tuning parameter for ridge penalty. |
Value
estimated Omega
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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