RIDGEc

sample covariance matrix (denominator n).

tuning parameter for ridge penalty.

Ridge penalized matrix estimation via closed-form solution. Augmented from Adam Rothman's STAT 8931 code.

internal

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package.
See Boyd et al (2010) <doi:10.1561/2200000016> for details regarding the estimation method.

RIDGEc: Ridge-penalized precision matrix estimation (c++)

Description

Usage

Arguments

Value