README.md

In dilernia/rcm: Implemention of Random Covariance Models

rcm

Random Covariance Model

Description

This R package implements a random covariance model (RCM) for joint estimation of multiple sparse precision matrices.

Overview of main functions

Function Description randCov Implements the Random Covariance Model (RCM) for joint estimation of multiple sparse precision matrices. Optimization is conducted using block coordinate descent. bic_cal Calculates the BIC for the RCM. mbic_cal Calculates the modified BIC for the RCM.

Installation

Install the latest version of the package from GitHub with the following R code:

if("devtools" %in% installed.packages() == FALSE) {
    install.packages("devtools")
}

devtools::install_github("dilernia/rcm")

Example

For a detailed simulation example for implementing the Random Covariance Model (RCM), see this link.

dilernia/rcm documentation built on Aug. 11, 2020, 7:29 a.m.