sigma_estim_glasso_slim: Graphical Lasso (GLASSO) Covariance Estimation - the slim...

In antshi/CovEstim: (High-dimensional) Covariance Estimation

Description

Computes the GLASSO estimator of the covariance matrix.

Usage

sigma_estim_glasso_slim(data, rho = NULL, type = "cor")

Arguments

data	an nxp data matrix.
rho	a double, the non-negative regularization parameter ρ for the lasso penalty.

Details

The GLASSO estimator is elaborated in detail in \insertCitefriedman2008sparse;textualCovEstim. More information on the functionality can be found in \insertCiteglassopackage;textualCovEstim and \insertCitecvglassopackage;textualCovEstim.

Value

a list with the following entries

• a pxp estimated covariance matrix.

• an estimation specific tuning parameter, here the lasso penalty.

References

\insertAllCited

Examples

data(sp200)
sp_rets <- sp200[,-1]
sigma_glasso <- sigma_estim_glasso_slim(sp_rets, rho=0.01)[[1]]

antshi/CovEstim documentation built on Nov. 13, 2020, 2:25 p.m.