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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0.0.1 by Gherardo Varando, 2 years ago

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

Documentation:   PDF Manual  

MIT + file LICENSE license

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