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) .


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install.packages("gclm")

0.0.1 by Gherardo Varando, 5 months ago


https://github.com/gherardovarando/gclm


Report a bug at https://github.com/gherardovarando/gclm/issues


Browse source code at https://github.com/cran/gclm


Authors: Gherardo Varando [aut, cre, cph] , Niels Richard Hansen [aut]


Documentation:   PDF Manual  


MIT + file LICENSE license


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See at CRAN