Convex Banding of the Covariance Matrix

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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install.packages("hierband")

1.0 by Jacob Bien, 5 years ago


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


Authors: Jacob Bien <[email protected]> , Florentina Bunea , and Luo Xiao


Documentation:   PDF Manual  


GPL-3 license


Suggests knitr


See at CRAN