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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1.0 by Jacob Bien, 6 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