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.


Reference manual

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1.0 by Jacob Bien, 7 years ago

Browse source code at

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

Documentation:   PDF Manual  

GPL-3 license

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See at CRAN