gherardovarando/clggm: Graphical Continuous Lyapunov Models
Estimation of covariance matrices as solutions of continuous time Lyapunov equations. Sparse coefficient matrix and diagonal noise are estimated with a proximal gradient method for an l1-penalized loss minimization problem. Varando G, Hansen NR (2020) <arXiv:2005.10483>.
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Package details |
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| Maintainer | |
| License | MIT + file LICENSE |
| Version | 0.0.1.9999 |
| URL | https://github.com/gherardovarando/gclm |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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