Implementation of the convex banding procedure (using a
hierarchical group lasso penalty) for covariance estimation that is
introduced in Bien, Bunea, Xiao (2015) Convex Banding of the Covariance
Matrix. Accepted for publication in JASA.
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Jacob Bien, 4 years ago
Browse source code at
Jacob Bien <[email protected]>
and Luo Xiao
See at CRAN