lasich: LASICH estimator

In asondhi/LASICH: Joint Estimation Of Precision Matrices In Heterogeneous Populations

Description

Calculates sensitivity and specificity of estimating K precision matrices using LASICH. Returns precision matrix estimates, Frobenius norm errors, and operating characteristics.

Usage

lasich(Sigmas, Sigma0, Omega0, ns, L = NULL, lambda1, lambda2, tol, rho,
  truegraph = NULL, initest = NULL, LD = NULL, wt = NULL, thr = TRUE)

Arguments

Sigmas	(p * p * K) arrays sample covariance matrices from each group
Sigma0	Number of case subjects
Omega0	(p * p * K) arrays true precision matrices
ns	vector of sample sizes for each group
L	graph Laplacian
lambda1	value of first tuning parameter (lambda_1)
lambda2	value of second tuning parameter (lambda_2)
tol	tolerance level for determining convergence of LASICH
rho	tuning parameter for ADMM algorithm
truegraph	a list containing true graphs (to return performance evaluation metrics)
initest	initial estimator for warm start
LD	a diagonal matrix added to L to improve computational efficiency
wt	weight for likelihood; NULL = nk/n, 1 = (1,...,1)???
thr	whether to threshold the sample cov matrix to find connected components of the graph
Sigma0	(p * p * K) arrays true covariance matrices

asondhi/LASICH documentation built on Nov. 24, 2020, 12:36 a.m.