fastclime (version 1.4.1.1)

fastclime.selector: A precision matrix and path selector function for fastclime

Description

Select the precision matrix and solution path for a given parameter lambda

Usage

fastclime.selector(lambdamtx, icovlist, lambda)

Value

An object with S3 class "fastclime.selector" is returned:

icov

The estimated precision matrix corresponding to lambda.

adaj

The estimated graph path corresponding to lambda.

sparsity

The sparsity level of this estimated graph for this value of lambda.

Arguments

lambdamtx

The sequence of regularization parameters for each column, it is a nlambda by d matrix.

icovlist

A nlambda list of d by d precision matrices as an alternative graph path (numerical path) corresponding to lambdamtx.

lambda

The user specified parameter lambda. The function will return the solution path corresponding to this value. Note lambda has to be larger than or equal to lambda.min input in fastclime.

Author

Haotian Pang, Han Liu and Robert Vanderbei
Maintainer: Haotan Pang<[e-mail]>

Details

The output from fastclime stores a list of precision matrice and a matrix of parameters. This program will select the required solution path and precision matrix for a given parameter lambda.

See Also

fastclime and fastclime-package

Examples

#generate data
L = fastclime.generator(n = 100, d = 20)

#graph path estimation
out1 = fastclime(L$data,0.1)
out2 = fastclime.selector(out1$lambdamtx, out1$icovlist,0.2)
fastclime.plot(out2$adaj)