R/getDesparsifiedPrecisionMatrixEstimator.R

In akopich/covcp: R package for change-point detection in covariance structure

# R package for change-point detection in covariance structure
# Copyright (C) 2016 Valeriy Avanesov acopich@gmail.com 

getDesparsifiedPrecisionMatrixEstimator = function(Var, GL) function(windowSize) function(data) {
  as.vector(getDesparsifiedEstimator(data, GL(data)) / sqrt(Var/windowSize))
}

getDesparsifiedEstimator = function(data, theta) {
  sigma = Cov(data)
  theta + t(theta) - t(theta) %*% sigma %*% theta
}