lam.max.hierband

Sighat


Computes lambda_max, which is the smallest value of <code>lam</code> for which
<code><a rd-options="" href="/link/hierband?package=hierband&version=1.0" data-mini-rdoc="hierband::hierband">hierband</a></code> (with <code>delta=NULL</code>) gives a diagonal 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.

lam.max.hierband: Computes the smallest lambda such that P=0.

Description

Usage

Arguments