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DESP (version 0.1-4)

Estimation of Diagonal Elements of Sparse Precision-Matrices

Description

Several estimators of the diagonal elements of a sparse precision (inverse covariance) matrix from a sample of Gaussian vectors for a given matrix of estimated marginal regression coefficients. To install package 'gurobi', instructions at http://user.gurobi.com/download/gurobi-optimizer and http://www.gurobi.com/documentation/6.0/refman/r_api_overview.html.

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Version

Install

install.packages('DESP')

Monthly Downloads

29

Version

0.1-4

License

GPL-3

Maintainer

Samuel Balmand

Last Published

October 23rd, 2015

Functions in DESP (0.1-4)

DESP_Weighted_Graph

Graph representation from the matrix B

Steepest descent algorithm for penalized maximum likelihood estimation

Estimation of Diagonal Elements of Sparse Precision-Matrices

DESP_SPT_MaxDegreeRoot2

SPT - of maximum height equal to 1 - computation choosing root a priori as the node of maximal degree

Estimation of DESP by penalized likelihood minimization

DESP_SqPartCorr

Squared partial correlations computation

DESP_MST_MaxDegreeRoot

MST computation

Estimation of DESP using shortest path trees

Estimation of the coefficient matrix

computation of beta that minimize |Y-X*beta|_2 + lambda |beta|_1 (square-root Lasso)

DESP_SPT_MaxWeight

Maximum weighted tree among all shortest path trees computation

Estimation of B by ordinary least squares

Estimation of DESP by residual variance

Estimation of DESP using minimum spanning trees

Estimation of DESP by likelihood maximization

solve a second-order cone program using SCS

DESP_SPT_MaxDegreeRoot

SPT computation choosing root a priori as the node of maximal degree

Internal DESP Functions