gpband

Non-negative penalty parameter.  Controls sparsity level.

<code>(p-1)</code> vector of weights. Default, w[l]=sqrt(2 * l)


Groupwise soft-thresholds subdiagonals by lam * w


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.

gpband: Groupwise soft-thresholds subdiagonals by lam * w

Description

Usage

Arguments