EPlasso: Performs l1-regularized estimation of an inverse covariance...

In pzwiernik/mtp2: Working with Gaussian totally positive distributions

Description

This function implements a simple coordinate descent algorithm to find the maximum likelihood estimator over Gaussian MTP2 distributions. For details see Lauritzen, Uhler, Zwiernik (2017).

Usage

EPlasso(S, lambda, tol = 1e-07, pos.constr = TRUE)

Arguments

S	the sample covariance matrix
lambda	positive penalty
tol	the convergence tolerance (default tol=1e-8)
pos.constr	if TRUE (default) assumes nnonnegative correlations, if FALSE performs the standard dual graphical lasso.

Value

the optimal value of the concentration matrix

the number of iterations the algorithm needed to converge

the corresponding value of the log-likelihood

Examples

print(TRUE)

pzwiernik/mtp2 documentation built on Aug. 9, 2020, 12:34 p.m.