# R package for change-point detection in covariance structure
# Copyright (C) 2016 Valeriy Avanesov acopich@gmail.com
chooseRho = function(data) {
sqrt(log(ncol(data)) / nrow(data))
}
Cov = function(X) t(X) %*% X/nrow(X)
logDetGL = function(thr = 0.01) function(data) {
theta = glasso(Cov(data), chooseRho(data), penalize.diagonal = F)$wi
theta = (theta + t(theta)) / 2
theta[abs(theta) < thr] = 0
theta
}
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