banded


Generates a banded covariance matrix and matrix squareroot
sig: value of kth band (starting with diagonal)
size of band is length(sig)


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.

banded: Generates a banded covariance matrix and matrix squareroot sig: value of kth band (starting with diagonal) size of band is length(sig)

Description

Usage

Arguments