DESP_OLS_B


  This function estimates the coefficient matrix <code>B</code> column-by-column. Only nonzero coefficients are estimated, using the sparsity pattern provided by the squared partial correlations matrix.  


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>.

DESP_OLS_B: Estimation of B by ordinary least squares

Description

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See Also