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. Moreover, a robust estimator
of the precision matrix is proposed.
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.